Conventional heat treatment is not capable of converting a sufficient amount of retained austenite into martensite in high-carbon or high-carbon and high-alloyed iron alloys. Cryogenic treatment induces the following alterations in the microstructures: (i) a considerable reduction in the retained austenite amount, (ii) formation of refined martensite coupled with an increased number of lattice defects, such as dislocations and twins, (iii) changes in the precipitation kinetics of nano-sized transient carbides during tempering, and (iv) an increase in the number of small globular carbides. These microstructural alterations are reflected in mechanical property improvements and better dimensional stability. A common consequence of cryogenic treatment is a significant increase in the wear resistance of steels. The current review deals with all of the mentioned microstructural changes as well as the variations in strength, toughness, wear performance, and corrosion resistance for a variety of iron alloys, such as carburising steels, hot work tool steels, bearing and eutectoid steels, and high-carbon and high-alloyed ledeburitic cold work tool steels.