With the rapid increase in the scale and number of tunnels in cold regions, the frost damage problems, such as cracking of the lining structure under the action of freeze–thaw cycles are becoming increasingly prominent. This review article collects and sorts out the frost damage phenomena that occur in the lining structure of tunnels in cold regions under the action of freezing and thawing cycles, classifies the frost damage phenomena into structural frost damage and non-structural frost damage, and proposes that the research on the mechanism of lining frost damage and its prevention measures should focus on lining cracking. According to the damage degree of the freeze–thaw cycle to the lining structure and its influence on tunnel operation, the cracking mode and cracking stage of lining are introduced. The analysis focuses on the mechanism of cracking in lining structures subjected to freeze–thaw cycles, considering the external force caused by frost heaving, the alteration of mechanical properties in lining concrete, and the internal changes in the microstructure of the concrete. Additionally, the factors that contribute to the occurrence of lining cracking are summarized. Based on this, corresponding control measures have been organized to provide reference for the development of cracking of the lining structure under the action of freeze–thaw cycle.