Cryogenic transmission electron microscopy (cryo-TEM) preserves biological and material samples in a near-native state via ultra-rapid vitrification and enables high-resolution imaging at cryogenic temperatures, which substantially alleviates structural degradation induced by vacuum dehydration and electron beam irradiation. Capitalizing on this unique advantage, cryo-TEM has long served as a powerful characterization tool in traditional disciplines including biology and medicine. In recent years, it has also seen tremendous advances in structural characterization and mechanistic exploration across physics, materials science, chemistry and atmospheric science. This review first systematically introduces two core technical routes of cryo-TEM: the vitrification-based strategy (Sections 3 and 5) for the structural analysis of electron-beam-sensitive materials and the characterization of dynamic evolution processes, and the cryo-stage-based strategy (Sections 4 and 6) for the oxygen-free preparation and investigation of low-temperature physical properties of air-sensitive materials. Subsequently, we comprehensively summarize the state-of-the-art applications of cryo-TEM in physics and materials science, covering five key research directions: 1) the protection mechanism and atomic-scale structural resolution of electron-beam-sensitive materials (e.g., MOFs, COFs, perovskites, and hydrogels); 2) oxygen-free sample preparation and interfacial structural analysis of air-sensitive materials (e.g., Li/Na/K metal anodes, SEI/CEI films, and solid-state battery interfaces); 3) time-resolved cryo-TEM methodologies including offline sampling, on-chip integration and electron beam-induced dynamic detection, as well as their applications in probing nucleation and phase transition behaviors over timescales ranging from microseconds to months; 4) in situ cryogenic observation of the structural and functional evolution of advanced functional materials (e.g., ferroelectric domain transformation, skyrmion lattice rearrangement, charge density wave transitions, and low-temperature Li⁺ transport behavior); 5) the latest progress in correlative characterization technologies that integrate cryo-TEM with spectroscopy, diffraction analysis, theoretical calculations and machine learning algorithms (Section 7). This review aims to provide a comprehensive and insightful reference for further expanding the application scope of cryo-TEM in fundamental physics and advanced materials research.