Certified GKH Gardening Expert
They burrow very deeply - hard to say exactly how far down. However, when the soil warms up to around 50 degrees F they begin to make their way back up. Research says they shouldn't be fed much if anything during the winter.
Here's an article for you: https://www.gardeningknowhow.com/composting/vermicomposting/care-and-feeding-of-worms.htm