It's usually mitigated by keeping their exposure time down as far as possible - they can do the blocking and rehearsal in lighter clothing and use stand-ins wherever possible, then the principals go wait somewhere without their top-coats etc in a cooled location until the scene is completely ready to go.
If they're lucky, that cooled location is an air-conditioned building or trailer. If not, it's an umbrella or just somewhere in the shade.
It wouldn't be too much to imagine they could rig an EZ-Up or equivalent, which are ubiquitous on any set; with a portable aircon unit.
The thing about making film/TV is it's nowhere near as glamorous as it looks.
Sometimes people do just have to tough it out. Wearing winter clothing when it's 32° in the shade is just one of those times.