Annually, millions of people engage in mountain sports activities all over the world. These activities are associated with health benefits, but concurrently with a risk for injury and death. Knowledge on death rates is considered important for the categorization of high-risk sports in literature and for the development of effective preventive measures. The death risk has been reported to vary across different mountain sports primarily practiced in the summer season. To complete the spectrum, the aim of the present review is to compare mortality rates across different mountain sports activities primarily practiced in winter. A comprehensive literature search was performed on the death risk (mortality) during such activities, i.e., alpine (downhill) skiing, snowboarding, cross-country skiing, ski touring, and sledging. With the exception of ski touring (4.4 deaths per 1 million exposure days), the mortality risk was low across different winter sports, with small activity-specific variation (0.3–0.8 deaths per 1 million exposure days). Traumatic (e.g., falls) and non-traumatic (e.g., cardiac death) incidents and avalanche burial in ski tourers were the predominant causes of death. Preventive measures include the improvement of sport-specific skills and fitness, the use of protective gear, well-targeted and intensive training programs concerning avalanche hazards, and sports-medical counseling for elderly and those with pre-existing diseases.