"I just wanted to get outside and experience a Canadian winter again," said Crosby, in town with the Penguins to play the Jets Friday night.
"Believe it or not you miss it a little bit. You miss seeing the snow."
Winnipeg delivered on the snow with a side helping of a nippy but sunny -23C temperature.
"It's hockey weather, so it's nice to get out. . . I definitely forgot how cold it was but it's nice to be here," Crosby said.
He said he was well dressed and it wasn't that long a walk "but if it was any longer, it might have been a little tougher, that's for sure."
Crosby didn't play with the team when the Penguins visited Winnipeg last season but he has played at the MTS Centre before, when the paint was still drying, as a member of Canada's world junior team.
The team played exhibition games at the arena when the juniors themselves were held a short drive south in Grand Forks, N.D., in late 2004 and 2005.
"It's exciting," he said of his NHL debut at MTS.
"Any time you play at a newer venue or somewhere you haven't played in awhile, I think you always get excited for that."
He also said it would be nice to see hockey return to another Canadian venue where real winter is no stranger, if Quebec City can make the economics work.
It seems to be the leading contender for a relocated franchise now that Winnipeg has rejoined the NHL, although there hasn't been a lot of buzz lately.
Crosby played for the Rimouski Oceanic of the Quebec Major Junior Hockey League and remembers crowds of 15,000 in the Colisee in Quebec City for junior games.
"It would be amazing. They love hockey there and I think, as far as the economics, if that works, it would be a great place," he said.
"We all know about the rivalry with Montreal, how big that is. It could be great for hockey but we'll have to see how that will kind of fit in."
A new arena is one piece of the puzzle needed to lure a team back to Quebec City. The Colisee Pepsi as it is now known seats about the same number of fans as the MTS Centre but it was built in 1949 and lacks the money-generating features new NHL arenas require.
Crosby says he's still working on timing after the lockout-induced layoff but he insists he isn't changing the way he plays to avoid injury, despite the many months he has spent away from hockey as a result.
"I like to think I'm pretty aware out there on the ice but it's part of the game, if you get caught you get caught," he said.
"Sometimes when you hesitate that's when you set yourself up to get really hit, so I just try to play the same way."