Kylie stepped out Thursday for the first time since TMZ broke the story Khloe was kicking Tristan to the curb for allegedly cheating (again) ... this time with her sister's BFF, Jordyn.

KJ was all bundled up and trying to cover her face next to her pal, Heather Sanders.

We might've buried the headline here, but it's snowing in parts of L.A. right now! So, Kylie and Heather were definitely dressed for it out in Calabasas -- and they even recorded a video to commemorate the oddly chilly occasion.

As for Jordyn ... we're told she's moving out of Kylie's pad and back into her mom's house for now.

It's unclear where exactly things stand between Kylie and her -- but it's safe to assume it ain't great.

Or even good.