Phase change materials (PCMs) can enable non-volatile optical memory through the large refractive index and extinction coefficient contrast between crystalline and amorphous states. Among them, Sb₂Se₃ combines low optical attenuation at telecom wavelengths, making it promising for low-loss programmable phase shifters. Its non-volatility is particularly useful for cryogenic systems, where power dissipation and thermal load constrain scalability. However, its optical properties at cryogenic temperatures remains poorly understood. Here, we report the first cryogenic optical characterization of Sb₂Se₃ integrated on a foundry silicon photonic platform from 4K to 300K for both crystalline and amorphous states. We observe that the magnitude of the thermo-optic coefficient decreases upon cooling, whereas the optical attenuation changes only weakly for both the amorphous and crystalline phases. We report the stability of the material upon repeated thermal cycling. These measurements provide the material parameters and stability required to design low-loss, non-volatile photonic memory elements for scalable cryogenic information processing.