Find an activity you can do outside every (or nearly every) day, or for an extended time on weekends. The cold and/or snow (and/or rain depending on your climate) will make you want to shun the outdoors but that's the trap. An activity that gets you moving is best IMO because it will help you keep warm, but proper clothes are really the key.

I personally like force-myself-outside activities that are easily replicable, like a run or walk of a set distance at a set time so it's just part of my everyday schedule, making it harder to welch. If you can do it first thing in the morning all the better: there's research indicating that early morning sunlight exposure--even through cloud cover--is important in winter. Whatever the activity it doesn't have to be long; ten minutes outside daily is better than zero minutes, but I'd recommend 15-30 minutes if you can swing it. Even sitting outside on a porch or front stoop with warm clothes and a warm drink while you read the news or do your morning social media check-in or whatever helps.

Conversely if everyday activities don't work for you or your situation, pick up a new hobby that's winter-oriented like ice fishing or snow shoeing or cross-country skiing (a lot of the equipment for this type of thing can be rented so you can try out a variety). I'm more of a hiking person myself, which is truly the best year-round activity and requires minimal gear (although in winter proper clothing really makes a difference, especially base layers). The key is making sure to do that activity for several hours at least once a week, and finding something that you enjoy and doesn't feel like a chore.

However don't underestimate the power of moving. I don't mean full snow-birding it down to Arizona or Florida: even places with a proper four seasons can differ dramatically from each other, and finding one that fits you (and facilitates getting outdoors more) can make a world of difference. I'm in the Pacific Northwest, and a lot of people would hate the long, dark, rainy winters, but it's a lot easier to go on daily walks and runs on wet pavement than icy pavement so it works for me (plus it's green here all year and you can garden year-round to a small degree). I really struggled living places where the air hurt my face, so cold but dry also works for getting me outside more. I know moving for the weather sounds petty, but why live somewhere that you hate for half the year?