What is the coldest Formula One race ever held?

First of all, it's important to define "coldest". I believe you're talking about air temperature, despite the fact that the real problem for a F1 car is the track temperature, which is different.

Regarding tests, which are normally carried out during northern hemisphere winter, it's not uncommon having snow in the track. For instance, check this 1986 test, see the snow on the ground:

https://youtu.be/7RCdRKkt4ds?t=1723

Regarding a F1 race it's quite complicated finding accurate data for the 50s and 60s, but I'd bet on this 1975 Race of Champions, whose start was delayed due to snow:

Weather conditions were inhospitable, with strong winds, heavy rain and even snow showers during the weekend. [...] The start was delayed as snow fell and teams had to quickly decide which type of tyres to use.

Here is a clip of that race, have a look at people's clothes, it should've been very cold: https://youtu.be/CXvBJ6Y8zsA?t=5

Also, according to Wolfram Alpha, the highest temperature that day was 6°C:

It's worth mentioning that, despite not counting for points, the Race of Champions is a Formula 1 race.

Whilst Gerardo Furtado's answer covers what may be the coldest race, it is not a World Championship race, which I feel may be an important distinction to some people.

According to a list of race records on Wikipedia, the coldest World Championship race was the 1978 Canadian Grand Prix - which had a highest temperature of 5°C (41°F) during the race.

Temperature for Montreal on race-day

_{I believe the sudden drops are missing data points rather than it suddenly plummeting to 0°C}

BBC Highlights of the race