Hydrogen embrittlement (HE) remains one of the most critical challenges in ensuring the structural integrity of steels for hydrogen energy infrastructures, including storage and transport systems. Despite decades of research, the underlying mechanism of HE is still not fully understood due to the complexity of hydrogen-microstructure interactions across multiple length scales. Cryogenic Atom Probe Tomography (Cryo-APT) has recently emerged as a unique method of providing near-atomic resolution and compositional sensitivity for hydrogen analysis, thereby enabling direct visualization of hydrogen distribution at defects, interfaces, and precipitates. This review summarizes recent progress in Cryo-APT-based investigations of hydrogen behavior in steels, with a focus on trapping mechanisms, the role of microstructural features, and the synergistic activation of multiple HE mechanisms. Key technical developments, such as cryogenic workflows and isotope tracing, have significantly advanced the reliability of Cryo-APT hydrogen quantification. Case studies on ferritic-martensitic steels, pearlitic steels, and advanced high-strength steels highlight the potential of Cryo-APT to reveal both diffusible and non-diffusible hydrogen trapping. While current limitations include local sampling bias, experimental complexity, and signal interpretation challenges, continuous improvements in methodology and integration with multiscale modeling are expected to establish Cryo-APT as a core approach for elucidating HE mechanisms. This review provides a comprehensive perspective on the current technical state and future directions of Cryo-APT in HE researches.