Magnesium and its composites have been used in various applications owing to their high specific strength properties and low density. However, the application is limited to room-temperature conditions owing to the lack of research available on the ability of magnesium alloys to perform in sub-zero conditions. The present study attempted, for the first time, the effects of two cryogenic temperatures (−20 °C/253 K and −196 °C/77 K) on the physical, thermal, and mechanical properties of a Mg/2wt.%CeO2 nanocomposite. The materials were synthesized using the disintegrated melt deposition method followed by hot extrusion. The results revealed that the shallow cryogenically treated (refrigerated at −20 °C) samples display a reduction in porosity, lower ignition resistance, similar microhardness, compressive yield, and ultimate strength and failure strain when compared to deep cryogenically treated samples in liquid nitrogen at −196 °C. Although deep cryogenically treated samples showed an overall edge, the extent of the increase in properties may not be justified, as samples exposed at −20 °C display very similar mechanical properties, thus reducing the overall cost of the cryogenic process. The results were compared with the data available in the open literature, and the mechanisms behind the improvement of the properties were evaluated.