When turning on the shower this morning the water was barely coming out. I check the walls where the pipes are and I went outside to check if there was any leaks, none on both. The rest of the house has not lost any water pressure. I thought that the pipes might has busted because it is around 22 degrees outside.

First, I would check shower head filter screen for dirt. Remove shower head and clean the screen. Also run water through shower arm w/o shower head for few seconds.

Second, it is possible your water pipes may be freezing. Is this shower located on the outside wall ?

After running the shower for a few minutes pipe would thaw if this was due to freezing, did the volume pick back up? Both hot and cold were diminished, check that shower head/screen like Milo suggests