As has been said, the first place to start is probably whether your glow plugs are working - or at least, are you allowing time for them to work? They do take a couple of seconds to warm up before the key is turned.

On the rare occasions we get temps well below freezing (-10degC and below) in the UK every diesel I have owned (7 so far) has emitted just a tiny puff as it first starts and has then run fine, but if the glow plugs don't work then it is much more smoke and can take a while to actually fire. Are you having any trouble getting it to start? It should go with just a very quick turn of the starter.

In warm weather the glowplugs don't usually engage. I'm not certain of the absolute cutoff temp, but I think it could be +5C. Above it then no glow, but below it the plugs will come on and you should see a message saying 'Pre-Heating' in the OBC display on the instrument cluster. Are you seeing any message if the temp is below +5C?

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