Superalloys are important structural materials in the aerospace and petrochemical industries. Because of their excellent fatigue and oxidation resistance, superalloys are usually used predominantly in rotor and turbine components. The requirement of good surface quality and high-precision processes has been widely concerned. High-pressure cooling is a commonly used auxiliary processing technology in the metal cutting field, which can efficiently improve the quality of the processed surface. It is of great significance to study the surface roughness of GH4169 processed by cutting under high-pressure cooling conditions. First, the single-factor and orthogonal experiment methods were used. The single factors, interaction effect, and quadratic effect of cutting parameters and cooling pressure were analyzed. Then, the multiple linear regression method was adopted to establish the prediction model for surface roughness of GH4169, and the accuracy of this model was verified. Finally, according to the prediction model, the machining parameters were optimized and verified. The results indicated that the proposed model was accurate and reliable, which could be used to optimize the machining parameters. The optimal parameter combination was achieved, with the cutting speed of 154 m/min, the feed rate of 0.10 mm/r, the cutting depth of 0.46 mm, and the cooling pressure of 52 bar. Under this parameter setting, the prediction error was 4.20%, and the surface roughness was 34.92% less than that obtained under the actually recommended machining parameters. The above results will provide theoretical guidance for the parameter optimization of cutting superalloy under high-pressure cooling conditions and quality control of the processed surface.