Cutting fluid plays a cooling–lubrication role in the cutting of metal materials. However, the substantial usage of cutting fluid in traditional flood machining seriously pollutes the environment and threatens the health of workers. Environmental machining technologies, such as dry cutting, minimum quantity lubrication (MQL), and cryogenic cooling technology, have been used as substitute for flood machining. However, the insufficient cooling capacity of MQL with normal-temperature compressed gas and the lack of lubricating performance of cryogenic cooling technology limit their industrial application. The technical bottleneck of mechanical–thermal damage of difficult-to-cut materials in aerospace and other fields can be solved by combining cryogenic medium and MQL. The latest progress of cryogenic minimum quantity lubrication (CMQL) technology is reviewed in this paper, and the key scientific issues in the research achievements of CMQL are clarified. First, the application forms and process characteristics of CMQL devices in turning, milling, and grinding are systematically summarized from traditional settings to innovative design. Second, the cooling–lubrication mechanism of CMQL and its influence mechanism on material hardness, cutting force, tool wear, and workpiece surface quality in cutting are extensively revealed. The effects of CMQL are systematically analyzed based on its mechanism and application form. Results show that the application effect of CMQL is better than that of cryogenic technology or MQL alone. Finally, the prospect, which provides basis and support for engineering application and development of CMQL technology, is introduced considering the limitations of CMQL.