This paper investigated the effect of individual differences and the type of heating system on the perceived thermal comfort condition, neutral temperature, and thermal sensitivity in cold outdoor air conditions. Three types of individual factors, such as gender, temperament, and thermal past experience, were studied and compared in this paper. According to the results, temperament and thermal past experience directly influenced the occupants’ thermal preference and indirectly influenced the thermal sensation by affecting their clothing level. However, the effect size of such variations was negligible. The type of heating system had the most significant impact on the neutral temperature, with a mean difference of 2.8°C. Individual factors did not have a direct impact on the neutral temperature. However, thermal sensitivity was influenced by an individual’s temperament. Occupants with a cold temperament were more sensitive to the variation in the running mean outdoor temperature (Trm) than those with a warm temperament. When the results were compared with the predictions by the adaptive thermal heat balance (ATHB) and the predicted mean vote (PMV) models, it indicated that if the control condition over the heating system became limited, there would be no (i.e., very low) behavioral, physiological, and psychological adaptation. However, by creating an opportunity to control the heating system, thermal adaptation could be reached at a lower temperature under cold outdoor air conditions.