The present study attempted for the first time an investigation on the effect of deep cryogenic treatment in liquid nitrogen (LN) on magnesium–cerium oxide (Mg/2wt.%CeO2) composites containing equal amounts of different length scales (micron and nanosize) cerium oxide (CeO2) particles. The disintegrated melt deposition method was used to synthesize Mg-2CeO2 micro- and nanocomposites, followed by hot extrusion as the secondary processing. Further liquid nitrogen treatment was performed at a cryogenic temperature of −196 °C. The combined effects of cryogenic treatment and reinforcement length scale on physical, mechanical, and thermal behaviors were studied. The results indicate that LN-treated micro- and nanocomposite samples exhibit, in common, a reduction in porosity, similar grain size, and a limited effect on the original texture of the matrix. However, microhardness, 0.2% Compressive Yield Strength (CYS), failure strain, and energy absorbed increased for both micro- and nanocomposite samples. Overall, results clearly indicate the capability of deep cryogenic treatment with LN to positively diversify the properties of both micro- and nanocomposite samples.