Cain missed the Brewers' 8-3 loss to the Seattle Mariners on Tuesday while having the procedure.
The 2018 All-Star has been dealing with the thumb issue and a sore hamstring for about a month.
"It just got to the point where we have to do something a little more to give him a chance to get past the pain," manager Craig Counsell said. "It has been affecting him, there's no question about it."
The cryotherapy procedure involves an injection of subzero temperatures into a damaged nerve on the base of the thumb. Cain's teammate Ryan Braun had the same procedure multiple times since 2014.
Cain is hitting .253 with four home runs and 28 RBIs this season.
Ben Gamel has been filling in for Cain in center field. He has gone 3-for-7 over the past two days.
The Associated Press contributed to this report.