everyday life - Does humidity make cold air feel colder?

I sometimes hear stories where people compare their feelings in winter in different places in the world.

It goes like

in city X the temperature was the same as in city Y, but the humidity made me feel much colder...

or

oh well, -20°C would be cold, but the humidity was low, so it felt OK

so it implies that humidity somehow makes it feel colder. I am talking about temperatures below freezing (-30...0°C).

Does this have any physical explanation, or is it some sort of psychological phenomenon?

Answer

Various types of apparent temperature have been developed to combine air temperature and air humidity. For higher temperatures, there are quantitative scales, such as the heat index. For lower temperatures, a related interplay was identified only qualitatively; e.g., in a 2012 textbook:

High humidity and low temperatures cause the air to feel chilly

Or in The Columbia Electronic Encyclopedia

Cold air with high relative humidity "feels" colder than dry air of the same temperature because high humidity in cold weather increases the conduction of heat from the body.

Or in Popular Mechanics:

There has been controversy over why damp cold air feels colder than dry cold air. Some believe it is because when the humidity is high our skin and clothing become moist and are better conductors of heat, so there is more cooling by conduction.

A useful concept is thermal comfort, which considers many other factors, such as skin wetness and cloth friction. (I've started a section at Wikipedia).