Take this with a grain of salt because I’m an undergrad but...
Are you serving as an officer after you graduate? If yes, I’d start networking with your alumni base now, focus on improving your grades(if doable), try to land a finance related internship(it won’t be anything close to PE) and work your ass off to get a return offer. After your time in the military, work in Corp finance or wherever you can land a finance related job and then take the MFE or MBA (more inbetween if you’re taking the MBA route) at a semitarget to get your foot in the door.
To start networking and remember LinkedIn is your best friend, search alum at companies you think are interesting and start reaching out and taking down emails. Try to set up coffee dates and shadow days with them. Sound hungry and do your due diligence on their industry. Make a spreadsheet with all your contacts info and track when you reach out, it can get confusing. Start with alum who are the least intimidating(younger with less prestigious roles) so you can get comfortable with it.
Idk much about trying intern in the winter, but I’d assume it’s even more connections based than summer sessions because there isn’t as much infrastructure. For this reason landing an internship in the winter would be secondary to building relationships.
Again, idk anything, this would just be my strategy.