SA516 Gr.70 steels were welded by friction stir welding (FSW) under various media of air, water, and water + CO2 cooling, and the effect of the cooling media on the microstructure and mechanical properties of joints was systematically analyzed. The nugget zone (NZ) under the air-cooling condition contained coarse bainite + martensite. Martensite was obtained by decreasing the cooling media temperature. Furthermore, tensile fracturing of the joints occurred in the basal metal (BM), and the ultimate tensile strength of the joints under various cooling media was similar to that of the BM. However, with decreasing cooling media temperature, the total elongation of the joints noticeably increased. Good strength (545 MPa) and elongation (16.8%) were obtained in the joints under the water + CO2 cooling condition since the fine martensite microstructure enhanced the plastic deformation capacity of the joints. In addition, in the NZ under water + CO2 cooling condition, good toughness of 110 J/cm2 was obtained due to a high fraction of high-angle boundaries and fine martensite.