To provide an inexpensive, simple-construction cooling gas spray device that can remove heat, chips and the like generated typically in machining of micro precision components and in grinding machining, by spraying cooling gas from its nozzle over tools and workpieces, and that is free of freezing of the nozzle.

This cooling gas spray device has an inner nozzle 3 and an outer nozzle 4 encircling the outer wall of the inner nozzle 3 to define a passage in between. The inner nozzle 3 is supplied by a cooling air generator 1 with cooling air 9, and the outer nozzle 4 is supplied by a dehumidifier 2 with dehumidified or dry air 10 of a temperature between the freezing point and ordinary temperature of water. The inner nozzle 3 spouts the cooling air 9 and the outer nozzle 4 spouts the dry air 10.