They do. This is what allows gymnosperms to persist in poor climates (high elevation and/or latitude) even though angiosperms (flowering plants) are better competitors.
The leaves of evergreen trees are resistant to cold and moisture loss. As long as they get enough water, evergreens may continue to photosynthesize during the winter but the reactions occur more slowly at colder temperatures.
Actually, photosynthesis does occur in below-freezing temperatures; the process is just slower. Solutes within the cells lower their freezing point, and additionally, the freezing of cells in the outer parts of the tree (in contact with the air) will provide heat that will keep the inner cells from freezing for a while longer.
From what I have read, conifers can carry on photosynthesis at temperatures a few degrees below freezing, but further drops in temperature shut down the process.