Individual thermal comfort models based on physiological parameters could improve the efficiency of the personal thermal comfort control system. However, the effect of thermal history has not been fully addressed in these models. In this study, climate chamber experiments were conducted in winter using 32 subjects who have different indoor and outdoor thermal histories. Two kinds of thermal conditions were investigated: the temperature dropping (24–16 °C) and severe cold (12 °C) conditions. A simplified method using historical air temperature to quantify the thermal history was proposed and used to predict thermal comfort and thermal demand from physical or physiological parameters. Results show the accuracies of individual thermal sensation prediction was low to about 30% by using the PMV index in cold environments of this study. Base on the sensitivity and reliability of physiological responses, five local skin temperatures (at hand, calf, head, arm and thigh) and the heart rate are optimal input parameters for the individual thermal comfort model. With the proposed historical air temperature as an additional input, the general accuracies using classification tree model C5.0 were increased up by 15.5% for thermal comfort prediction and up by 29.8% for thermal demand prediction. Thus, when predicting thermal demands in winter, the factor of thermal history should be considered.