Molecular analysis of internal transcribed spacer DNA sequences indicates that Cortinarius cinereoroseolus groups together in a subclade with two undescribed sequestrate Cortinarius species, and that this subclade is sister to a clade containing the agaric species C. australis, C.  chalybaeus, C. porphyropus, C. purpurascens and C. purpurascens var.

The specific epithet caesibulga is derived from the Latin words cinereo (greyish) and roseolus (light pink) and refers to the colour of the fruit bodies.

[3] Thaxterogaster cinereoroseolus has a sequestrate fruit body, meaning that its spores are not forcibly discharged from the basidia, and it remains enclosed during development, including at maturity.

The colour of the outer skin of the cap (the pellis) is cream mixed with pale pink, lilac, and grey, and it is smooth with a finely hairy texture.

The fungus has also been collected in wet sclerophyll forests where Acacia melanoxylon, Blechnum cartilagineum, Coprosma quadrifida, Cyathea australis, Lomandra multiflora, Lomatia arborescens and Poa sieberiana are the predominant plants.