The problems of the recast layer, oxide layer, and heat-affected zone (HAZ) in conventional laser machining seriously impact material properties. Coaxial waterjet-assisted laser scanning machining (CWALSM) can reduce the conduction and accumulation of heat in laser machining by the high specific heat capacity of water and can realize the machining of nickel-based special alloy with almost no thermal damage. With the developed experimental setup, the laser ablation threshold and drilling experiments of the K4002 nickel-based special alloy were carried out. The effects of various factors on the thermal damage thickness were studied with an orthogonal experiment. Experimental results have indicated that the ablation threshold of K4002 nickel-based special alloy by a single pulse is 4.15 J/cm². The orthogonal experiment results have shown that the effects of each factor on the thermal damage thickness are in the order of laser pulse frequency, waterjet speed, pulse overlap rate, laser pulse energy, and focal plane position. When the laser pulse energy is 0.21 mJ, the laser pulse frequency is 1 kHz, the pulse overlap is 55%, the focal plane position is 1 mm, and the waterjet speed is 6.98 m/s, no thermal damage machining can be achieved. In addition, a comparative experiment with laser drilling in the air was carried out under the same conditions. The results have shown that compared with laser machining in the air, the thermal damage thickness of CWALSM is smaller than 1 μm, and the hole taper is reduced by 106%. There is no accumulation and burr around the hole entrance, and the thermal damage thickness range is 0–0.996 μm. Furthermore, the thermal damage thickness range of laser machining in the air is 0.499–2.394 μm. It has also been found that the thermal damage thickness is greatest at the entrance to the hole, decreasing as the distance from the entrance increases.