Poly(methyl methacrylate) (PMMA), with a glass transition temperature (Tg) over 100 °C, shows good mechanical and optical properties and has broad applications after being machined with single-point diamond turning (SPDT) at room temperature. Because of the high Tg, current efforts mostly focus on optimizing machining parameters to improve workpiece precision without considering the modification of material properties. Cryogenic cooling has been proven to be an effective method in assisting ultra-precision machining for certain types of metals, alloys, and polymers, but has never been used for PMMA before. In this work, cryogenic cooling was attempted during the SPDT of PMMA workpieces to improve surface quality. The machinability and surface properties of cryogenically cooled PMMA were investigated based on the mechanical properties at corresponding temperatures. Nanoindentation tests show that, when temperature is changed from 25 °C to 0 °C, the hardness and Young's modulus are increased by 37% and 22%, respectively. At these two temperature points, optimal parameters including spindle speed, feed rate and cut depth were obtained using Taguchi methods to obtain workpieces with high surface quality. The surface quality was evaluated based on the total height of the profile (Pt) and the arithmetic mean deviation (Ra). The measurement results show that the values of Pt and Ra of the workpiece machined at 0 °C are 124 nm and 6 nm, respectively, while the corresponding values of that machined at 25 °C are 291 nm and 11 nm. The test data show that cryogenic machining is useful for improving the form accuracy and reducing the surface roughness of PMMA. Moreover, the relationship between temperature, material properties and machinability weas established with dynamic mechanical analysis (DMA) data and a theoretical model. This can explain the origin of the better surface quality of the cryogenic material. The basis of this is that temperature affects the viscoelasticity of the polymer and the corresponding mechanical properties due to relaxation. Then, the material property changes will affect surface profile formation during machining. The experimental results and theoretical analysis show that cryogenically cooled PMMA has good machinability and improved surface quality when using SPDT compared to that at ambient temperature.