Presently, only a single species is recognized, K. colllinsoni, named in honor of Antarctic scientist Jim Collinson.

Kryostega was discovered in beds of the upper Fremouw Formation at Gordon Valley in the central Transantarctic Mountains.

Kryostega was found in a thin siltstone cobble conglomerate within these strata, about 70 meters from the base of the upper member.

The same bed has produced remains of Cynognathus, along with a kannemeyeriid dicynodont, a gomphodont cynodont, and a second species of large temnospondyl.

Sidor et al. (2008; p. 661-662) conclude that the "...inferred high paleolatitude of Gordon Valley during deposition would have subjected it to long periods of continuous darkness during the winter months," and that the discovery of a large, semiaquatic amphibian in these beds is "...evidence for unsuspected ecological diversity with the Polar Circle during the Triassic."