Magnesium alloys have broad applications, including medical implants and the aerospace sector owing to their great density and high strength-to-weight ratio. Dry cutting is a frequent technique for machining this material. However, it always leads to an excessive rise in temperature due to the absence of cooling at the cutting zone, which affects the machined surface integrity and chip morphology. In this study, chip morphology and surface integrity of the AZ31 magnesium alloy were investigated in the turning process using an internal cooling method called submerged convective cooling (SCC) to overcome the absence of cooling in dry cutting. This method can exploit the advantage of the high specific heat capacity of water as a cooling fluid without any reaction between water and magnesium to create a cooling element in the cutting zone. The chip morphologies and surface integrity were analyzed experimentally with varying cutting speeds under SCC and dry cutting. The experimental results revealed that SCC and dry cutting produced saw-tooth or serrated chip formation. The chips produced in dry cutting were continuous, while SCC was short and discontinuous as a result of a severe crack on the back surface of the chip. It was discovered that the grain refinement layer on the machined samples was thinner under SCC turning. SCC machining increased the microhardness of the AZ31 magnesium alloy by 60.5% from 55 HV to 88.3 HV, while dry turning exhibited a 49% increase in microhardness. The result revealed that surface roughness improved by 10.8%, 9.4% and 4.7% for cutting speeds (V) of 120, 180, and 240 m/min, respectively, under the SCC internal cooling. Based on the result obtained, SCC cutting outperformed dry cutting in terms of chip breakability, grain refinement, microhardness, and surface roughness.