One would be blended with a heavier version of the same base oil than the other is the simplest way of describing it.
Say for example, the 0W-20 was blended with 4cSt base oils while the 5W-20 was blended with 4 and 6cSt base oils. Both are using SK's Yubase for example, so they are using the same family of base oils, but the 0W-20, to hit the 0W-xx Winter rating, has a lighter blend.