Musnad Ahmad 1129:3

Yazid narrated to us, Ayyub ibn Utbah informed us, from Qays ibn Talq, from his father: That a man asked the Prophet, peace and blessings of Allah be upon him, about praying in a single garment. The Messenger of Allah, peace and blessings of Allah be upon him, had two garments on, so he layered them over one another and wrapped himself in them, then he prayed in them. When he finished the prayer, he said: "Does every one of you find two garments?"