The pronouns are correct, but there are some other problems with your sentence.
The correct sentence would be
I love mountains, I wish I could visit them in the winter to see what they look like covered with snow.
Note that the word "I" is always capitalized.
The other changes are subtle grammatical things that are hard for me to explain.
To correct your entire question, we would have
I have a simple yet intriguing question.
Are the pronouns used in this sentence correct?
"I love mountains, I wish I could visit them in winter to see what they look like covered with snow".
And this whole sentence is correct? If not I'll be grateful to you for correcting me.
Thanks in advance.
Note that the correct word meaning a word that represents another word is "pronoun". "It", "I", "them", and "they" are all pronouns.