I have a 95 cummins and it keeps dying on me in cold weather. The truck will start just fine but after I start driving it will start to lose power and then die. It will turn over just fine but won't restart. When it doe's finally restart it will blow white smoke and run rough for about ten seconds then die again. I have already replaced the fuel shut off solenoid and relay but still having the same problem. The batteries are good as well.

 

Could be a bad lift(transfer) pump. I had same prob on my 96. I replaced the lift pump and it ran fine. Easy to replace Good luck

 

Change the filter lately?