Back when I did outdoor programming, I used to give classes of 20 kindergarteners snowshoes. They would then run en masse across the snow. On occasion, you could see the poor small mammals, who had been happily hanging out beneath the snow, run out ahead of the kids. The kids and their snowshoes were crushing the layer of air between the ground and the snow known as the subnivean or pukak layer.
This layer of air can form in two ways. First, fallen leaves, branches, or other materials can hold up the snow. Second, the heat from the ground can melt the snow right above it, creating a gap. The bottom surface of the snow in either case turns from solid to gas (it sublimates) and then freezes, forming ice which acts as a roof.
Once the snow reaches an appropriate depth above (around 15 cm or 6 inches) the air layer maintains a temperature close to 0°C (the freezing point). While this may not seem super warm to us with our heated houses, this helps many small mammals to survive the winter.
Animals like mice and voles will have full living spaces connected by tunnels underneath the snow. But, they are not completely safe from predation. Owls can hear the animals moving and target their attacks. Other animals might find them by smell.
Other challenges can occur as well like flooding from sudden melts or rains or the snowpack might collapse (as it did when the kindergarteners ran over it). But all in all, it’s a pretty good place to spend the winter, if you are small enough to fit.