The availability, biocompatibility, non-toxicity, and ease of chemical modification make cellulose a promising natural polymer for the production of biomedical materials. Cryogelation is a relatively new and straightforward technique for producing porous light and super-macroporous cellulose materials. The production stages include dissolution of cellulose in an appropriate solvent, regeneration (coagulation) from the solution, removal of the excessive solvent, and then freezing. Subsequent freeze-drying preserves the micro- and nanostructures of the material formed during the regeneration and freezing steps. Various factors can affect the structure and properties of cellulose cryogels, including the cellulose origin, the dissolution parameters, the solvent type, and the temperature and rate of freezing, as well as the inclusion of different fillers. Adjustment of these parameters can change the morphology and properties of cellulose cryogels to impart the desired characteristics. This review discusses the structure of cellulose and its properties as a biomaterial, the strategies for cellulose dissolution, and the factors affecting the structure and properties of the formed cryogels. We focus on the advantages of the freeze-drying process, highlighting recent studies on the production and application of cellulose cryogels in biomedicine and the main cryogel quality characteristics. Finally, conclusions and prospects are presented regarding the application of cellulose cryogels in wound healing, in the regeneration of various tissues (e.g., damaged cartilage, bone tissue, and nerves), and in controlled-release drug delivery.