Hola
If you want to walk close by, on a camino, in winter, I'd suggest starting from Roncesvalle and get to Burgos?
I walked during winter and there were snow, sometimes knee deep, but over all it was not the snow but the low temperatures and wind that was refreshing as well as challenging.
There were always an albergue open within a day march so lodging was never a problem.
If you want to travel to other countries to walk during winter, many questions will arise.
To walk in full winter in nature requires plenty of equipment, but there are possibilities.
One walk, I have never tried myself but have heard good thing about is in norther Sweden, Kungsleden.
It is a 450 km walk but one can shorten it. You can search for it online.
Torres del Paine, in Patagonia in the southern of South America is indeed an incredible nature park.
There are shelters/lodging around the circuit, but one can also tent out.
There are two ways to walk it; either around or the W; walking one side going up and in and out...
Imagine a group of mountains you either walk around or every other day walk up and into and back again.
Of course you have to get yourself to one of the remotes places on earth and it is not cheap.
Hope this helps.
Buen Camino
Lettinggo