Check the fuel filter. Make sure it is not clogged.
Check the battery if it has enough juice to get the car started. Also make sure you bleed the fuel system.
Maybe there is air in the system.
Also check for smell of diesel (indicating a leak where air can get in the system)
Also check that you have good fuel. I once had water in my fuel tank (Old stations tend to have condensation in the diesel fuel) cold weather will make it gel up.

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2003 X5 3.0i AWD Automatic