Q.Do harlequin bugs survive harsh winters?
This is the first time in 39 years of gardening that I have had an infestation. I am in Boulder, Colorado. I’ve picked hundreds (maybe more than a thousand) off and tried diatomaceous earth, but they keep coming back. I added large red leaf mustard and red kale this year. Is it the crops or bad luck? Does anyone know if they will not survive at particular low temperatures?

They likely loved the Leafy Mustard you grew!
Yes, these bugs can survive winter.
Here is an excellent article to help you with the issue.
https://www.gardeningknowhow.com/plant-problems/pests/insects/get-rid-of-harlequin-bugs.htm