I assume you're in the southern hemisphere if it's coming into winter? I don't know where you are so I don't know what your winter climate is like.
What kind of peacock is he? Greens need winter protection in many climates but IBs are very hardy. They also prefer to roost outdoors. Mine have the choice of 3 large sheds but still choose to roost outdoors. The mature birds have learned somewhat and will go in if it's quite bad but the yearlings will stay out in almost anything. We only herd them in if there's a really bad thunderstorm or extremely severe wind forecast. They are in an aviary, though, and our climate is reasonably mild.
If he's totally free range I don't know how much you can do about it other than provide the shelter and hope he decides to use it. You could try only feeding in the shelter and only feeding him in the evening to encourage him to stay there overnight. Or you could design a shelter that you can lock him in when he comes in to feed and then let him out in the morning. It might take a lot of patience and training. If he always roosts in the same spot and refuses all efforts to encourage him into a shelter, you could always build some sort of simple shelter or wind barrier next to his chosen roost spot.
Also, is he alone? A totally free range peacock may not stick around if you have no peahens.