Abstract Skillful weather prediction on subseasonal to seasonal time scales is crucial for many socioeconomic ventures. But forecasting, especially extremes, on these time scales is very challenging because the information from initial conditions is gradually lost. Therefore, data-driven methods are discussed as an alternative to numerical weather prediction models. Here, quantile regression forests (QRFs) and random forest classifiers (RFCs) are used for probabilistic forecasting of central European mean wintertime 2-m temperatures and cold wave days at lead times of 14, 21, and 28 days. ERA5 reanalysis meteorological predictors are used as input data for the machine learning models. For the winters of 2000/01–2019/20, the predictions are compared with a climatological ensemble obtained from E-OBS observational data. The evaluation is performed as full distribution predictions for continuous values using the continuous ranked probability skill score and as binary categorical forecasts using the Brier skill score. We find skill at lead times up to 28 days in the 20-winter mean and for individual winters. Case studies show that all used machine learning models are able to learn patterns in the data beyond climatology. A more detailed analysis using Shapley additive explanations suggests that both random forest (RF)-based models are able to learn physically known relationships in the data. This underlines that RF-based data-driven models can be a suitable tool for forecasting central European mean wintertime 2-m temperatures and the occurrence of cold wave days. Significance Statement Because of the chaotic nature of weather, it is very complicated to make predictions with traditional numerical methods 2–4 weeks in advance. Therefore, we use alternative, interpretable methods that “learn” to find statistically relevant patterns in meteorological data that can be used for forecasting central European mean surface wintertime temperatures and cold wave days. These methods are part of the so-called machine learning methods that do not rely on the traditional numerical equations anymore. We test our methods for 20 winters between 2000/01 and 2019/20 against a static weather prediction consisting of the past 30 winters. For single winters and in a mean over the 20 predicted winters, we find improved predictions up to 4 weeks in advance.