Thermal underwear consists mostly of synthetic fibers such as polyester, polyamide or elastane. This material allows good moisture transport, which wicks away sweat and keeps the skin dry. Some brands also use merino wool, which is also insulating, breathable and odor-resistant.
However, thermal underwear does not automatically make you warm. The material only records the body temperature, which is generated by movement. It is therefore important to move in cold temperatures in order to exploit the full potential of functional underwear. If you are already warm enough without moving, then you are wearing too much clothing.