Musnad Abu Ya'la al-Mawsili 159:14

Abu Khaythama 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: "None of you should pray in a single garment while there is nothing of it upon his shoulders."