Friction stir processing (FSP) is used for changing the microstructure and material properties improvement. In modern years, special attention is exposed by governing the temperature level, and is applied by various coolants spraying on the top surface of the sample during FSP. This review paper explores the impact of several cooling mediums such as normal water, cold water, hot water, and cryogenic on the temperature distribution, grain refinement, mechanical characteristics, and superplastic deformation behavior of FSP using various grades of magnesium (Mg) alloys. It also includes the corrosion rate and wear behavior of FSP on Mg alloys. Through the systematic review, it has been observed that refined grains were formed and the generation of intermetallic compounds was suppressed after FSP in underwater and cryogenic conditions, leading to a notable increase in strength. The higher tensile strength and elongation are exhibited while using cryogenic compared to water medium. This is due to a rapid cooling process, where the high temperature was short for the newly-formed grains to fully develop. This review not only concludes the key findings of the preceding research but also suggests future recommendations.