Magnesium alloys have been used in the automotive industry and 3C (computer, communication, and consumer electronics) for many years. Their room temperature properties combined with their low density offer a wide range of applications, especially when processed by High Pressure Die Casting (HPDC). The use of magnesium alloys at higher temperatures is well-studied; special creep resistant alloys containing the rare earth elements silver or yttrium are needed. However, when it comes to very low temperatures, only a few studies have been performed to determine the property-microstructure relationship. The possible fields of application at low temperatures are aerospace and satellite parts and tanks for liquefied gases. This review shall not only examine mechanical properties at low temperatures, but also the permanent effects of cyclic or long-lasting cryogenic treatment on the microstructure and mechanical properties. It was found that cryogenic treatment is able to influence the precipitate concentration and grain orientation in some magnesium alloys. Reduction in the number of brittle phases is improving ductility in some cases. It is well-known that high speed tool steels, in particular, can be influenced by cryogenic treatment. Whether this is possible with magnesium alloys and what the mechanisms are shall be reviewed.