Hardened layers are commonly required for automotive components after their production using a machining process in order to enhance the service life of these components. This study investigates the possibility of producing a nanostructured machined surface which can increase the hardness of the machined surface by varying the machining parameters under cryogenic conditions in end milling of AISI 4340. The end milling experiments were performed using multi-layered TiAlN- and AlCrN-coated carbide. Prior to the experiment, a finite element method (FEM) was used to simulate the cutting temperature generated and it had been found that at cutting speed of 200–300 m/min, feed rate of 0.15–0.3 mm/tooth, axial depth of cut of 0.3–0.5 mm, and radial depth of cut of 0.2–0.35 mm, the temperature generated can be sufficiently high to cause austenitic transformation. A field emission scanning electron microscope (FESEM) equipped with angle selective backscattered (AsB) detection analysis was used to investigate the microstructure and machined-affected layers of the machined surfaces. The crystallographic orientation/phase change and nano-hardness were analysed through X-ray diffraction (XRD) and a nano-hardness testing machine. The results showed that the cryogenic machining had significantly affected the surface integrity characteristics of the AISI 4340 alloy due to refined microstructure, favourable phase structure, and higher hardness near the surface layer. The results of this study may be useful in providing an insight into a potential technological shift from conventional surface case hardening processes to the present technique.