The horses and other farm animals in the Midwest aren't freezing to death every winter here as long as they have adequate food and water. Most livestock owners and horse lovers at least provide protection from the wind and rain in the winter so animals don't have to stand in unprotected pasture. Keep in mind many of these animal breeds CAN tolerate the conditions if they are healthy, fed and watered.
Depends on the horse and what its living conditions are. If it is always outside then it should grow a winter coat which will keep it warm but there are a few horses who need to be blanketed when they go out b/c they don't grow a very good coat. If the horse is blanketed in a heated barn or even just in a heated barn then they will get cold outside. Watch b/c if a horse is cold they will shiver(or at least mine does)