The term “winter’s tale” isn’t used a whole lot in the 21st century, but in Shakespeare’s day, everyone knew that a “winter’s tale” was the kind of story one might tell in order to pass the time on a long winter evening. Like a fairy tale, a winter’s tale may be entertaining, but it doesn’t have a whole lot of credibility. (Sorry to break it to you but “The Princess and the Frog” isn’t grounded in reality.)
So, why would Shakespeare name his brilliant play after such a story? In some ways, he seems to be acknowledging that, like a fairy tale, most of the plot and action of his drama are completely implausible. Perdita, for example, is abandoned in the Bohemian wilderness but somehow manages to survive. She’s then raised as a lowly shepherd’s daughter and falls in love with a handsome prince before her true identity as a princess is discovered and she lives happily ever after (after being reunited with her dad and mom, who has been magically resurrected from the dead). That kind of stuff just doesn’t happen in real life. This is probably why the Third Gentleman notes how most of the events that have occurred in the play are “like an old tale still, which will have matter to rehearse, though credit be asleep and not an ear open” (5.2.3). In other words, it’s a story worth telling, but it doesn’t have a lot of street cred and most people will never even hear it. (Yep, that Shakespeare sure is modest.)
Another self-conscious reference to the title occurs early on in the play, when Mammilius whispers a story into his mother’s ear. Mammilius announces that “a sad tale’s best for winter” (2.1.7) and then proceeds to say “There was a man […] Dwelt by a churchyard” (126.96.36.199.8). We don’t hear the rest of the story but some critics have pointed out that the beginning of Mammilius’s tale seems to foreshadow what will become of his father, Leontes. As we know, after Leontes’s tyranny destroys his family, he spends much of his time “dwelling” (hanging out and kneeling in prayer and repentance) by a “churchyard” (another term for graveyard), which may be a reference to the burial plot Hermione and Mammilius are supposed to share. Remember, Leontes says he’s going to bury Hermione and Mammilius together in the yard of the “chapel” and promises to “visit” their grave “once a day” (3.2.15). We can’t ever know for sure if Mammilius’s story is a version of Shakespeare’s Winter’s Tale, but we’re certainly invited to imagine what Mammilius whispers into Hermione’s ear.