Machined surface quality and integrity affect the corrosion performance of AZ31 magnesium composites. These novel materials are preferred for temporary orthopedic and vascular implants. In this paper, the drilling performance of AZ31-magnesium reinforced with hollow alumina microsphere syntactic foam under LN2 cryogenic, dry, and Almag® Oil is presented. Cutting tests were conducted using TiAlN physical vapor deposition (PVD) coated multilayer carbide and K10 uncoated carbide twist drills. AZ31 magnesium matrices were reinforced with hollow alumina ceramic microspheres with varying volume fractions (5%, 10%, 15%) and average bubble sizes. Experimental results showed that the drilling thrust forces increased by 250% with increasing feed rate (0.05 to 0.6 mm/tooth) and 46% with the increasing volume fraction of alumina microspheres (5% to 15%). Cryogenic machining generated 45% higher thrust forces compared to dry and wet machining. The higher the volume fraction and the finer the average size of hollow microspheres, the higher were the thrust forces. Cryogenic machining (0.42 μm) produced a 75% improvement in surface roughness (Ra) values compared to wet machining (1.84 μm) with minimal subsurface machining-induced defects. Surface quality deteriorated by 129% with an increasing volume fraction of alumina microspheres (0.61 μm to 1.4 μm). Burr height reduction of 53% was achieved with cryogenic machining (60 μm) compared to dry machining (130 μm). Overall, compared to dry and wet machining methods, cryogenic drilling can be employed for the machining of AZ31 magnesium syntactic foams to achieve good surface quality and integrity.