I'm not entirely sure why you may be experiencing dryness but I want to help so these are my thoughts...it could be a number of reasons
It could be that the moisturizer you are using is not the right moisturizer for you. If the ingredients include petrolatum or any form of it, it can make your hair feel moisturized initially and leave it feeling dried out later. Also make sure that whatever deep conditioners as well as leave-ins you are using work well with your hair also and are helping to retain moisture. Be careful with using glycerin in the winter/cold weather too!
OR it could be that you are using a weak sealant. You can try moving to heavier oils, or you can do what I do...and use grease
rules for grease: ONLY use on your ends and ONLY after you've THOROUGHLY moisturized! Any kind of heavier sealant may lock in the moisture you use for longer periods of time.
Make sure you're using hair accessories that do not rob your hair of moisture. I used mixed knit scrunchies, but I know for some people even that can be really drying to their strands. Your safest bet would be satin scrunchies, hair elastics (but be careful bc those can jack up your ends!!), or just bunning w/bobby pins or no accessories at all.
Detangle your hair before you style too, this could be a factor...sometimes shed hairs/tangles prevent certain spots from receiving enough moisture...
That's all I have for now, if I think of anything else I'll be sure to post. Hope that helps!