This study aimed to explore the microclimate and outdoor thermal comfort characteristics of pedestrian spaces in mountain cities under humid and cold conditions. It focused on rainy and cloudy winter days in a typical mountain city (Chongqing), employing a combination of onsite thermal environment measurements and survey questionnaires. The research analyzed the Thermal Sensation Votes (TSV), thermal comfort evaluation indices (Universal Thermal Climate Index—UTCI, Physiological Equivalent Temperature—PET), and thermal environment parameters at representative sites. The findings revealed that firstly, outdoor thermal comfort and perception on cloudy winter days was minimally influenced by the microclimate. In contrast, on rainy winter days, it was significantly impacted by black globe temperature and wind speed. Secondly, the correlation between PET and Mean Thermal Sensation Vote (MTSV) was found to be higher than that between UTCI and MTSV, indicating that PET might be more aligned with the local climate and pedestrian activities. Lastly, the study determined the neutral PET range for different weather conditions in the area and compared it with existing research to identify discrepancies. This paper offers a reference for the neutral thermal comfort range in pedestrian spaces in regions with hot summers and cold winters under humid and cold winter climates, providing theoretical support for urban planning and design, with an emphasis on the results being presented in the past tense to reflect completed experiments.