Extreme temperature events (ETEs) have occurred more frequently in recent winters in China. A comprehensive understanding regarding the probability of ETEs is important for the management and mitigation of the effects of such natural hazards. Using the temperature data from the air temperature sensor in the louver box and copulas from the technology of multivariate data analysis, in this study, we investigated the characteristics of ETEs and their implications for the Beijing–Tianjin–Hebei (BTH) region by analyzing the changing trends and probabilistic characteristics of eight indexes, including the frequency, duration, and intensity of ETE variables. Results showed that the study area has generally become warmer (regional averaged daily minimum temperature increased by 0.8 °C per decade) and has experienced more extreme cold events (ECEs) over the past 40 years. The probability of ECEs with more extreme cold days, longer duration, and lower temperatures has increased since 1999. Although the high risk of extreme warm events (EWEs) was calculated for the central BTH region, the most significant increase in risk of EWEs occurred in the colder northern BTH region. Furthermore, it cannot be ignored that the risk of concurrent ECEs and EWEs in most of the BTH region is high, and the probability of their co-occurrence is increasing. These probabilistic properties can provide important information for climate change, disaster risk assessments, and city geospatial governance.