。
The cold wind cut through his coat to the bone.
Literal
Cold wind [subject-が] his coat [object-を] through body [to-に] seeped.
身にしみる ('to cut to the bone, penetrate deeply') is an expressive idiom: 身 ('body, self') + に + しみる ('to soak in, seep, permeate'). Used for things that affect one deeply — cold, kindness, hardship, lessons. The を on コート marks the path the wind cut through.