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Earth serves as the reference model. Its axial tilt ensures regular seasons and predictable snow cover. The water ice that makes up snow has a key property: on its surface, a thin quasi-liquid layer forms under pressure, reducing friction and allowing skis to slide. Our gravity, neither too strong nor too weak, provides enough grip for turning.
Our natural satellite, the Moon, does not have snow but a fine rock dust called regolith. Astronaut Harrison Schmitt, during the Apollo 17 mission, compared his movements to cross-country skiing. He even believed some lunar terrain would be suitable for downhill skiing. However, without real snow and with reduced gravity, the experience would remain very different from what we know.
Mars, with its polar ice caps and snowfall, seems more promising. The problem lies in the nature of this snow: it is mainly frozen carbon dioxide, or dry ice. Under the low atmospheric pressure on Mars, this ice does not melt but sublimates directly from solid to gas. A ski would exert pressure that would literally make the contact surface disappear, making any controlled descent impossible.
Europa, a moon of Jupiter, is entirely covered by a crust of water ice. However, temperatures there are so low that the ice becomes extremely hard, almost like glass. The low gravity, only 13% of Earth's, would prevent skis from sinking in properly. You would slide uncontrollably on an ultra-smooth and rigid surface, far from the feeling of fresh powder on Earth.
Pluto offers an even more exotic landscape, with nitrogen, methane, and carbon monoxide ices. At temperatures approaching -230°C, these ices are very brittle. Combined with minuscule gravity, this rigidity would make gliding uncomfortable and turns practically impossible. You would be drifting more than descending.
Therefore, while many worlds have ice or slopes, only Earth combines all the ingredients for pleasant and controlled skiing... as we know it. Unless we drastically change our way of gliding, the interplanetary Winter Olympics should, for now, await the discovery of other, more suitable worlds.