With winter outfitting, like snowboarding/skiing, the 3 layers approach is recommended to stay dry and warm.

The first layer is either polyester or silk. Typically polyester that is very stretchable and breathable. This "wicks" the moisture away from your skin.

The next layer is fleece. This keeps the body heat inside while also allowing the moisture to escape.

Then, you have the outer shell. This is also for breathability, but also mositure/water resistant to not let moisture back into the other layers. These usually have ratings for breathability and moisture resistance.

Same principle should apply for cycling, yet you want better/thinner clothing to allow movement and be aerodynamic, yet stay warm.