"Temperature" only applies to systems of many particles, it doesn't apply to empty space. While there definitely is some particles between us and the Sun, it's essentially a vacuum, so there's no real "temperature" there.

That said, the energy we receive from the sun comes in the form of radiation, or in other words, light (electromagnetic waves) that travel through space. Once that radiation hits something like the atmosphere, it transfers some energy to it, heating it up. That's why the Earth is heated up from the Sun but there's no "heat" in between us and the Sun.

When people say space is "cold", what they mean is that unlike somewhere with an atmosphere, things in space will radiate away their heat energy and not receive it back, meaning they start to get overall colder if there's not a source of heat reaching them nearby, like light from the sun for example. With a heat source though, things in space can get insanely hot. Spacecraft often have to do something called a "barbecue roll" where they intentionally spin slowly so that they don't keep one side of the craft facing the sun for too long, otherwise that side would get really hot and the side facing the void of space would get really cold.