We actually do not know a huge amount about Trotsky's life after exile from Russia in 1929. A key consideration when answering your question is understanding he was in exile a long time; nearly twelve years, and that during this time, his life was tumultuous and not stable. In terms of what we do know, we know where he went; Turkey first, where he was essentially trapped before France admitted him in 1933 for two years, then Norway. He was kicked out of France, because of fears he would encourage and influence a socialist uprising. He was then admitted by Norway (with a 'socialist' government) to avoid this problem, but was placed under house arrest, under pressure from Stalin. He was staying in a country house (at the invitation of it's owner Konrad Knudsen, a Norwegian politician) and so he may have been materially comfortable but the truth is that he was for most of his time in Europe, almost a prisoner. It was really only the last four years in Mexico he found bearable (but very distant) refuge.

The best source we have about direct material comforts is a diary written by Trotsky himself, from 1935, when he was in France. This diary reveals him living in a remote area of France, and having to deal with many 'petty hardships'. Below is an extract to show one example of this:

"Life goes on, as before, in a modified prison style : between four walls, without people. Once a day a walk along a path, with backyards and gardens on one side, and the ascent into the mountains on the other. The path leads to villages at either end, so that the walk is a short one, about 30 minutes long; to stretch it out to an hour you have to walk there and back twice. That too resembles prison walks ... One could, of course, walk up the mountain-sometimes we do-but this is fatiguing and hard on the heart. Once a week or once a fortnight, N. goes shopping in Grenoble, but I hardly ever get out ... But all this is trivial detail compared with the realization that the fascist reaction is moving closer every day"

It also reveals his and his wife suffering from poor health - including mental health issues - exacerbated by his horror at recent world events (The Rise of Hitler in 1933) and despair over how his family and friends in Russia may be fairing (and that they may be dead). Another illustrative extract is below:

"The days drag by in burdensome succession. Three days ago we received a letter from our son: Seryozha has been arrested; he is in prison; now it is no longer guesswork, something almost certain but not quite; we have a direct communication from Moscow ... He was arrested, evidently, about the time our correspondence stopped, i.e. at the end of December or the beginning of January. Almost half a year has elapsed since that time ... Poor boy ... And my poor, poor Natasha ..."

Whilst your question focuses on material comforts, I would argue this cannot be measured in isolation from comfort generally. At this point, whilst in France, it is very clear Trotsky was not enjoying a comfortable living or life, and this seems to be the case from 1929 until 1937, when he left for Mexico.

Unfortunately we do not have a similar first person testimony for his time in Mexico. However, we know a few things about his time there.

Again, he stayed in someone else's house at their invitation - the 'Blue House' as it was known. This period of his life is well worth reading more about, and it even ends in a scandal... He then moves to his own 'place' in 1939, where he stays until his assassination. This property you can visit in Mexico; it is almost entirely preserved as it was in 1940, meaning you can get a real feel for how he lived. It was also fortified after the failed assassination attempt - but this was paid for by the Mexican government, not Trotsky himself, a telling sign he was not rich enough to afford such things himself. The biggest difference here however was that he had more freedom, and was able to go 'shopping in the local markets' and such (there are accounts of people seeing him going about his business). However, even this started to change after the failed assassination attempt in 1939.

He was able to generate money for his publications, directly from supporters (patrons) and that he charged fees for interviews and for holding seminars for students. We also know that he was given a substantial advance to write a biography of Stalin. This was never finished. These are what would have been his source of income. Whilst living in Mexico he certainly had a better standard of living; he had secretaries and staff, but he was not an extravagantly rich man, as a trip to his home in Mexico would reveal.

However, it is important to remember that his time in Mexico was really only one third of his time in exile. I think it is apparent that his first 8 years in exile would not qualify as 'comfortable' but that his time in Mexico perhaps could do - despite of course, the fact that the ending to the Mexico story was not a comfortable one for Trotsky at all.