Starting in 2010 with the VALKYRIE cryobot project (NASA ASTEP), Stone Aerospace has been investigating methods to penetrate thick layers of ice. The focus of these methods is to develop cryobot vehicles capable of transporting payloads representative of an Ocean Worlds sub-ice mission (including on-board sensing and deployable swimming rovers). Critical to these types of carrier vehicles—and in fact any efficient ice-penetrating probe—is a detailed understanding of the thermal and physical dynamics of ice penetrators under the wide variety of conditions that may be encountered in the five operating regimes of such a mission: starting (under cryogenic temperatures and vacuum), brittle ice transit, ductile ice transit, dirty ice, and breakthrough. Early work on terrestrial ice-penetrating probes generated initial closed-form models which remain powerful for first-cut analyses. Further work on refining these models for more exotic environments (cryogenic or/and impure ices as will be encountered on Europa and other Ocean Worlds) has resulted in varying levels of success. Above all, the field suffers from very sparse, limited experimental validation. We review the current understanding of the thermodynamics of ice-penetrating vehicles in a variety of ice environments, both terrestrial and those of other Ocean Worlds, and present new models for ice regimes expected in both terrestrial and extraterrestrial applications. In addition, to begin to address the limited empirical understanding of these penetration dynamics—particularly in very cold environments—we present initial results and planned further work on validation tests in the Stone Aerospace Europa Tower cryogenic vacuum chamber. Validated thermodynamic models for cryobots operating in multiple regimes will allow for the assessment of feasibility of designs, prediction of full mission times, and enable optimal design of critical top-level parameters such as required power, vehicle shape, and internal heat distribution mechanisms.