I have had a pair of Sidi winter shoes for many years. I use them with Look 3 hole cleats but I think they can be set up for SPD as well. Unfortunately the fleece liner breaks down and mats over time, so I have found myself in recent winters using a pair of Giro road shoes that I have but with the insoles replaced by Pedag “Solar” insoles. These have lambswool on the top with the outer surface facing the shoe a metallic foil coating.

Unlike my Sidi summer road shoes, the Giros have very little venting and almost a plastic surface, so that when worn with neoprene booties, my feet stay pretty warm down to perhaps 30 degrees F.