Winters are severe in Volgograd but anyway there are some activities. Many tourist centers offer Russian hut and saunas (banya), sleigh rides and horseback riding, ice fishing. If you adore skating you can visit lots of skating rinks where you can hire skates.
There is a skate rink Novoe pokoleniye in Dzerzhinsky district that belongs to sport school of Olympic reserve in winter sports. Thanks to success of Russian athletes at the Winter Olympics in Sochi, 2014, winter sports have become very popular throughout Russia.