Морозная ( погода, зима) - it is when frost weather stands . Frost-it is when temperature 30 and lower below zero . Холодная ( погода ) that word is mostly used then temperature is lower then usual one . It can be in summer , when temperature is 15 above zero , it can be in winter then it is 25 degrees below zero .
also we can say - холодная одежда ( dress does not save warm ) холодная комната ( it is cold there) холодное отношение ( not so good attention ) . But we never use word морозный at that point