Hydrangeas are deciduous shrubs that lose their leaves in winter. And they require a period of dormancy or semi-dormancy as well. While yours may have retained a lot of their foliage in milder winters, they would have dropped some as well as their growth and flowering slowing considerably in respose to a change in the seasons.

What you are seeing is a perfectly normal, seasonal response to cold and what most of the rest of us in less semitropical climates than SoCal or Florida experience regularly. There is nothing you need to do now and your plants should be fine. A bit later in spring you can clean up the plants to remove any dead wood (again, a very natural occurrence) but pruning to any significant extent is not ncessary and can affect how well the plants flower this season.