What physical feature gave the Woolly Rhino its common name and aided survival in the mammoth steppe?

A thick coat of long, shaggy hair.

The defining characteristic that earned the Woolly Rhinoceros its common name was its remarkable integumentary system, specifically its coat. To survive the prolonged, frigid, and often windy conditions characteristic of the mammoth steppe ecosystem that dominated much of Eurasia during the Pleistocene, these giants developed an extremely dense layer of insulation. This insulation consisted of two parts: a dense underfur providing primary warmth retention, and an outer layer composed of long, shaggy hair. This thick pelage was absolutely crucial for maintaining core body temperature in an environment defined by low humidity and extreme cold. This physical adaptation contrasts sharply with the sparse hair or naked skin seen on most modern rhinoceros species, which inhabit warmer climates.