For children, time spent playing outdoors can strengthen the immune system, promote overall health, and even stimulate creativity, according to the Pennsylvania Department of Health.
For adults, exercising outdoors in the cold may actually improve endurance, and the exposure to sunlight can help ward off seasonal affective disorder. It’s important to warm up adequately before vigorous exercise, dress in layers, and remember to hydrate adequately. For more information, see this article from Harvard Medical School.