Punch shearing is used to form the part in the material process. Cryogenic treatment (CT) has active effect on local mechanical properties of steel, but it is still uncertain of the influence of CT on the properties of the magnesium alloy during punch shearing. In this work, the influence of AZ31 sheet treated by cryogenic on punch shearing was studied. Microstructures were observed with a ZEISS optical microscope, and mechanical properties, as well as shear properties were tested by tensile testing and punch shearing. The results show that the number of secondary phase increases and a large number of twins appear in the grains after CT. Meanwhile, the ultimate tensile strength (UTS), the ductility, and hardness of AZ31 are improved, while the yield strength (YS) decreases gradually during CT. During punch shearing, the shearing strength decreases, the rollover radius changes insignificantly, and the height of the burr on the edge of the cross section decreases. At the same time, a larger proportion of smooth zone on the cross section has been achieved.