Not sure if they are dead but they sure do not look good. I assume these are of the evergreen variety? What caused it I have not idea but maybe some others that know a lot more than I can help in that regard. Not sure I would just dig them out though. Try scraping some of the wood to see if you can find green underneath. If you can see green give it some time, it may push out more leaves. I had a native holly tree at my office building drop all of its leaves. I assumed it was dead and was going to pull it out when I found time. Before I got around to pulling it out it started to push new leaves out and is now fine.

Thanks for the encouraging words limestoner! I wonder if there's anything I can do to help it get better.

Again, others may be able to give you better information but unfortunately I think there is little you can do. It is obviously struggling. If it is not dead already, trying to do something now may push it over the edge. I think the best thing to do is let it be and see if it comes back on its own. Worse case scenario you have to replace them which would be the time to make sure they are properly fertilzed and watered. The ones in the picture look pretty established so it would seem yous hould not have a problem replacing them.

The white wall and no mulch made it difficult at best for these plants. The white reflects the winter sun. A mulch would have protected the roots during the winter.

Many azaleas are semi-deciduous and loose their leaves in early spring or mid winter. The fact there are some green leaves mean those branches are definitely alive. Wait for new shoots and see what is alive. After the new shoots come out you can cut away the remaining dead portions. Give it some time. It may be OK.