The utilisation of thin cold-formed steel (CFS) elements is widespread in contemporary lightweight building construction. Roof and wall cladding systems are predominantly made of thin, high-strength steel claddings and battens. Blizzards are predominantly observed in North American countries, resulting in significant roof damage. A localized pull-through failure mechanism, occurring at the batten to rafter/truss screw connections, has been extensively investigated at ambient temperature to comprehend the critical factors that influence the pull-through failure capacities of CFS battens. Nonetheless, the pull-through capacity of CFS battens at sub-zero temperatures has not been examined, and as a result, the performance of the steel cladding systems during blizzards under the combined action of strong winds and sub-zero temperatures remains unknown. To investigate the pull-through failure behaviour and capacities of batten screw connections, an experimental study comprising 96 tests was conducted involving two steel grades and three thicknesses of steel battens and two screw fasteners at sub-zero temperatures. The study was conducted at both ambient and sub-zero temperatures to understand the pull-through failure behaviour and capacities of batten screw connections. Appropriate pull-through capacity equations and associated increment factors were developed to predict the pull-through capacities of batten screw connections that are subjected to the combined effects of high wind uplift loads and sub-zero temperatures.