In recent years, magnesium-based materials have become expected to replace conventional engineering plastics as next-generation industrial materials to protect the global environment. However, in the production technology, problems of cracking and unstable accuracy in drilled hole shapes persist in plastic molding and machine tool processing; many studies have been conducted to address these problems. In dry machining ignition can be caused by the material, so wet machining is the prevalent method. However, it is necessary to establish a machining method with improved environmental parameters, considering the impact of oil mist and waste oil treatment on woks. In this study, the relationship between machining temperature and the accuracy of hole shapes in magnesium alloy AZ31 is investigated with four types of drills: high-speed steel, cemented carbide (K-Base), diamond-like carbon (DLC; K-Base), and TiN-coated cemented carbide (K-Base). The drill tip angle is set to 116°, 118°, or 120°. The work material used is the extruded AZ31 magnesium alloy. To evaluate the hole shape accuracy, squares of 80 × 80 mm are used. The cutting temperature is measured over an area of 12 × 30 mm. The work material is drilled using a dry method with a 3-mm-diameter drill having the aspect ratio (L/D) of 10. The tool protrusion length of 50 mm and cutting speed of 20 m/min are fixed, and the tool feed rate and drill step amount are changed. The experiment is repeated 3 times. The burr generated around the loophole on the back surface of the test material after the test is evaluated with a criterion burr height H of 0.02 mm. Furthermore, the average roughness (Ra) of the centerline is measured on the inner surface of the hole with a contact-type roughness meter. The results show that when using the three drill point angles of 116°, 118°, and 120° in the drill step, no burrs form at the exit of the drill hole. Carbide tools form burrs when the feed rate exceeds 30 mm/min and the step amount exceeds 20 mm. TiN tools are highly accurate up to a tip angle of 118°, while DLC tools have lower cutting forces and yield better finished surfaces than the other tools.