The ClimApp smartphone application was developed to merge meteorological forecast data with personal information for individualized and improved thermal warning during heat and cold stress and for indoor comfort in buildings. For cold environments, ClimApp predicts the personal thermal stress and strain by the use of the Insulation REQuired model that combines weather and personal physiological data with additional consideration of the Wind Chill index based on the local weather forecast. In this study, we validated the individualized ClimApp index relative to measurements and compared it with the Universal Temperature Climate Index (UTCI). To this aim, 55 participants (27 females) were exposed to at least 1 h in an outdoor environment of 10 °C or below (average 1.4 °C air temperature, 74.9% relative humidity, and 4.7 m/s air velocity) inputting their activity level and clothing insulation as instructed by ClimApp. The UTCI and ClimApp indices were calculated and compared to the participants’ perceived thermal sensation. The ClimApp index root mean square deviation (RMSD) was below the standard deviation of the perceived thermal sensation which indicates a valid prediction and the UTCI RMSD was higher than the standard deviation which indicates an invalid prediction. The correlation of ClimApp and UTCI to the perceived thermal sensation was statistically significant for both models.