A robust understanding of the sub-seasonal cold season (November–March) precipitation variability over the High Mountains of Asia (HMA) is currently lacking. Here, we identify dynamic and thermodynamic pathways through which natural modes of climate variability establish their teleconnections over the HMA. First, we identify evaporative sources that contribute to the cold season precipitation over the HMA and surroundings areas. The predominant moisture contribution comes from the mid-latitude regions including Mediterranean/Caspian Seas and Mediterranean land. Second, we establish that several tropical and extratropical forcing display a sub-seasonally fluctuating influence on the cold season precipitation distribution over the region, and given that many of them varyingly interact with each other, their impacts cannot be explained exclusively or at seasonal timescales. Lastly, a single set of evaporative sources cannot always be identified as the only determinant in propagating a remote teleconnection, because nature of moisture anomalies and its sources depend on the pattern of sub-seasonally varying dynamical forcing in the atmosphere.