Musnad Abu Ya'la al-Mawsili 159:105

Yahya ibn Ayyub narrated to us, Sufyan narrated to us, from Abu al-Zinad, from al-A'raj, from Abu Hurayrah, that the Messenger of Allah (may Allah bless him and grant him peace) said: "A man shall not pray in a single garment if there is nothing of it upon his shoulders."