Cold-adapted animals like reindeer have pelts that are better at insulating them (and you, if you kill them, skin them and tan their hide) than animals adapted for warmer climates. This is due to various things like thickness of fur and the shape of the individual hairs that make up the fur (there's something special about reindeer fur in this regard but I don't remember the details).
There are you tube videos that tell you how to tan hides, various methods, including ones that only use palaeolithic technology (which would be very useful to know in a survival situation where you can't get hold of any modern technology), traditional methods used by various people around the world (match the method with the geographical location, as you can't find all the same things in every environment) and also methods that use modern techology, but the ordinary person could do in their back garden.
How well animal pelts would insulate you therefore depends on the species. However, how thick/warm an animal's pelt is that animals adaptation to the specific climate it's in, so in theory, it should be warm enough to keep a human warm in the same climate. (Humans are mammals and various mammals have fairly similar internal heating systems.)
I write prehistoric fiction - regarding brain tanning, I avoid having my characters use brains for tanning, because brains are an excellent food source (high in fats, including omega 3s) and you can use various barks to tan hides (in fact the term "to tan a hide" shares an origin with "tannins" - substances found in bark). However, brains carry a risk of prion disease so modern people in a post-apocalyptic style survival situation would probably do better to use the brain to tan the hide rather than eating it, as long as they have sufficient food to survive without eating the brains.
Regarding keeping warm in a survival situation in a cold climate, here's what I learned in the Girl Guides (which is based on a British climate): 1. Shelter is vital. If it's snowing and there's no shelter at all, if you can, dig a hole in the snow to shelter from the wind - it works kind of like an igloo, but it's nowhere near as sophisticated. Wind chill factor will kill you much quicker than cold, still air, and ice/snow is actually a very good insulator (due to the air trapped between the ice crystals). Don't dig the hole so deep that there's a risk of the snow caving in and you suffocating to death under it though! If there's no snow, build a bivouac using whatever materials you can find that will keep the wind off you. Also, look for natural shelter, i.e. anywhere that's less windy, like slightly lower ground, or ground sheltered by rocks etc. 2. you will lose more heat through the ground than to the air, therefore you need to first consider what you will sit and sleep on, before you consider what you will wrap yourself in. The recommendation we learned in GGs is to have twice as much wrappings under you as over you. 3. huddle together to conserve body heat. You don't have to all be naked to benefit from this*, but in light clothing you huddle together then put the larger wrappings round the whole group - or in several small groups if there are lots of people. The more you individually wrap humans, the harder it is for the individuals to keep warm. 4. STAY DRY... wet clothing/wrappings massively speeds up heat loss. (On that note, a well-tanned hide will be pretty waterproof but best not to let it get completely soaked).
*babies and small children should be in skin to skin contact with their mother (or whoever the primary carer is, etc etc) and then mother and baby wrapped up together (obviously in such a way that the baby can still breathe) because they lose heat much more quickly than adult.
Also a fire will keep you very warm, but be careful of setting your animal pelts and bivouac alight and also don't die of smoke inhalation. Humans didn't start to live in cold places until after they figured out how to control fire. Getting enough fuel for a decent fire is going to be a limiting factor, so best advice is to do all of the above, plus have a fire.
Back to the original question - yes any kind of blanket or animal hide is good at keeping humans warm, but if that's the only thing they're relying on, then they're going to find themselves in a lot of difficulty.
Also, the above advice is for a climate similar to Britain's.