In Northeast China, most classrooms in primary and secondary schools still use natural ventilation during cold days in winter. This study investigated the thermal comfort and the perceived air quality of children in primary schools in severe cold regions in China. Field measurements were conducted in four typical primary classrooms in two naturally ventilated teaching buildings in the winter of 2016 in the provincial city of Shenyang. Six field surveys were distributed to 141 primary students aged 8 to 11, and 835 valid questionnaires were collected. The results showed that the indoor temperature and the daily mean CO₂ concentrations of the primary school classrooms ranged from 17.06 to 24.29 °C and from 1701 to 3959 ppm, respectively. The thermal neutral temperature of the primary school students was 18.5 °C, and the 90% thermal comfort temperature ranged from 17.3 to 20.1 °C. Children were able to respond to changes in indoor air quality, but there was no significant correlation between the children’s perceptions of air quality and the carbon dioxide levels in the classroom. In general, children have a lower comfort temperature than adults. In addition, children are more sensitive to temperature changes during the heating season than adults. Due to differences in thermal sensation between children and adults, the current thermal comfort standard based on adult data is not applicable to primary school buildings and children. The air quality evaluation during heating season indicates that it is necessary to add indoor air environment monitoring instruments and purification equipment to the naturally ventilated classrooms. At present and in the future, more research based on children’s data is needed to solve the indoor air environment problems in primary school buildings.