It’s true, the winters are definitely very very harsh in Chicago. I remember one winter where the polar vortex (the air currents which normally reside over the north pole) shifted, engulfing the city of Chicago. It was literally -35C and with windchill it dropped to sub -50C! I remember it was so cold for a few days that the moisture from my breath would literally freeze and cover my face in a fine white dust.
Just like you, I grew up in a warm climate, so I definitely was not prepared for Chicago’s brutal winters. Honestly, there’s not much you can do to prepare for the cold other than just making an active effort once you’re there to acclimate yourself. So when it starts getting cold, make sure you spend time outside. You might be uncomfortable at first, but after about 2 weeks your body will start getting used to the cold.
I’m not going to lie, the winters can be pretty depressing. You definitely need to be mentally prepared for spending a lot of time indoors. But that being said, UChicago’s campus has some really cool buildings that are fun to spend a lot of time in during the winter. The Harper Memorial Library (aka Hogwarts) comes to mind!