Proctor is in a dispute with his wife, Elizabeth. He is referring to how cold and distant she has been. This is pertinent because it is one reason he was driven to have an affair with their then-servant, Abigail.
Proctor and his wife are arguing over the fact that John told her he saw and talked with Abigail. He told her originally that he had met her in a crowd. However, he reveals that they were alone. This causes Elizabeth to be suspicious and cold to him. John laments that he has tried to make up his sin to her, but he feels no warmth or forgiveness.
She acknowledges this later in the play by telling John that she has been cold toward him even before his affiar, implying that she is partly to blame for driving him to Abigail.
When Elizabeth Proctor continues to treat her husband, John Proctor, with severity and coldness, he says that "it is winter in here yet," referring to the chilly relations between the two of them.
The tension in their marriage is only one of the reasons that Abigail and John present an ongoing conflict in the play. This tension is, in itself, a conflict that animates one of the play's most poignant yet subtle themes - admitting to being wrong.
We can see this theme strongly conveyed in the difficulties that Elizabeth and John suffer with one another. Elizabeth struggles to forgive her husband for his unfaithfulness (his dalliance with Abigail) and she also struggles to forgive herself for driving him away with her cold demeanor. Proctor, for his part, attempts to reconcile and, despite his great pride, forces himself to figuratively kneel before his wife, a supplicant for her forgiveness.
When Abigail successfully accuses Elizabeth of witchcraft and Elizabeth is jailed, Proctor and his wife are estranged forever as a result. As the court refuses to admit that it is wrong (as both Proctor and Elizabeth eventually succeed in doing), the reconciliation between husband and wife is never fully realized. The tension that grew from their conflict remains as an undercurrent in the play.
Thus repentance becomes a goal for those who are righteous (in the moral logic of the play). Hale, Elizabeth and John Proctor each manage to repent of wrong-doing and admit to their own failings. The figures of the court along with Abigail and Mary Warren do not achieve this goal.
"In Proctor's final recantation of his confession and his refusal to put his principles aside to save his life, we see the triumph of personal integrity in a world of moral uncertainty" (eNotes).
The human failing that is finally central to the morality of the play then becomes hubris - not deceit, as might be commonly assumed. Abigail's lies are, in the end, less important than her pride and her inability to recant those lies. She cannot forgive John Proctor for jilting her. The court cannot admit its own short-sighted desire for power (and accompanying abuses of power). The result is that (1) people die (like Proctor and Rebecca Nurse) and (2) the members of the court are clearly aligned with the folly of pride and moral failure.
We might understand Proctor's remarks to his wife as a statement about this underlying, animating tension in the play. As long as it remains "winter" in the Proctor marriage, these two characters cannot achieve a state of forgiveness and reconciliation. The significance of this theme has been demonstrated here and so we can now take lines like Proctor's comment about his marriage to have a specific meaning in the context of a play that is at least partly about repenting pride, admitting to personal failings and achieving a moral strength/success through this process.
John Proctor has a tense relationship with his wife, for she suspects him of having "improper relations" with Abigail. She treats him coldly, since she cannot forgive his infidelity. The coldness to which Proctor refers is the wintry attitude his wife shows toward him.