And it often feels as though painful things - like hitting your elbow or stubbing your toe - hurt more when it's cold out.
According to Dr John Mcbeth, a pain expert and researcher from Manchester University, it might not all be in your head. In fact, he says, there are several biological reasons that may underpin why pain feels more intense in the wintertime.
"Pain is our body's way of telling us that something is wrong. We have sensors all over our body [that] pick up information about our body and our environment and send that information to our brain," he told Business Insider. "When we are exposed to something potentially dangerous like extreme temperatures - hot or cold - these sensors send a warning message to our brain. We experience that warning message as pain."
However, normally people are not exposed to such extremes, but many people will complain that the cold weather has made their bad hip ache, or that bump on the elbow even more sore.
One theory is that cold causes changes in our joints.
Colder temperatures can shrink the tissues in our joints like our knees and hips, which can cause them to pull on the nerve endings and cause joint pain, Mcbeth says. However, this doesn't account for the pain people feel elsewhere in their bodies.
Another explanation is that disease in general causes people to be more sensitive.
Rheumatoid Arthritis, for example, is caused by your body attacking itself and causing inflammation. This reaction may also affect the body's sensors and cause them to become more sensitive.
If this happens, temperatures that would be simply cold to someone who doesn't have rheumatoid arthritis could become painful to someone who does.
A third theory is that pain causes people to be more sensitive.
Similarly to the above suggestion, pain itself can cause our bodies to become more sensitive. When we break a bone, the body releases pain chemicals that are picked up by our sensors, which tells the brain that something terrible has happened.
These chemicals can cause these sensors to pick up more information. This means if it's cold, then a broken wrist may start hurting more, or a recently healed bone may start to ache again. According to Mcbeth, this may just be because the pain sensors in the areas you've hurt have become more sensitive.
There are a few other theories floating about too.
For example, it's uncertain how much of a part psychology plays in these situations. It's commonly known that when you're under stress, you're more likely to fall ill, and feeling more pain may be the result of a similar pathway.
"How you experience pain is a result of a complex interaction between your biology, your environment and your psychology," Mcbeth said. "Psychological processes can make pain more or less intense. Very happy, positive, upbeat people experience pain less intensely than people who are less happy."
There's also a few theories based on what your body does in general when it's colder. Your veins constrict and less blood flows to your extremities, as it stays around your organs to preserve heat. This means your skin is more rigid than normal, which can cause more pressure on your already sensitive nerves.
There is also some research that suggests that cold receptor channels are linked to pain channels in a way that heat receptors are not, but exactly how they are linked and what this means is yet to be discovered.
To further help get to the bottom of this mystery, a new smartphone study called Cloudy with a Chance of Pain is being led by Professor of Digital Epidemiology at Manchester University, Dr Will Dixon. The project asks participants to track their symptoms related to their condition every day using a mobile phone app, and this information is correlated with the weather conditions on different days.
The project currently has 12,000 participants, and it is recruiting people up until January 2017. Anyone can take part who is over the age of 17, lives in the