Then duck or goose down works well, but only when encased in waterproof plastic. You even get plastic “down” that doesn’t work as well but is more weatherproof.
The only natural thing that might work in cold weather is maybe fur.
When it’s -40, you will have to pry my plastic + feather jacket from my frozen hands
It's not something I'd take on an expedition, but it's fine for being outdoors below zero. You don't need the waterproof/breathable stuff quite so much at those temperatures because it's just snow.
I was out and about with the coat for several hours in -20C weather here this past winter and it did fine.
I live in NYC, where it gets cold sometimes, and my merino wool base layers from REI work great. I've never owned a heavy duty winter jacket in my years here.
You could layer up for mild cold, say down to -5C / 23 F.
But after a certain point you need a large volume of warm dry feathers around you.
The worst is probably actually freezing rain, which happens around 0C / 32 F. It’s not as cold, but the water and ice is more efficient than Alberta’s thin, usually dry mountain air at taking your precious heat away. You really want to be waterproof when that happens.