Ulaanbaatar - the coldest capital in the world - is home to half of Mongolia's population, much of which uses coal for household heating, contributing to high wintertime air pollution. We piloted two-stage air-to-air heat pumps in 2017, when temperatures dropped to −39 °C. These heat pumps were reliable and efficient, with an average coefficient of performance of 1.86 on the coldest days. Heat pumps' recurrent costs were similar to those of coal stoves and lower than those of resistive heaters. • Many homes in Ulaanbaatar (UB), the coldest capital globally, use coal for heating. • Coal use for home heat contributes to poor air quality in UB during the winter. • We tested two-stage heat pumps that work below −40 °C in homes in and around UB. • The heat pumps were efficient and cost effective. • Recurrent costs were comparable to coal and lower than resistive electric heaters. [ABSTRACT FROM AUTHOR]