The surface integrity of ultra-high-strength steel has a significant influence on service performance, and cutting fluid plays an important role in maintaining surface integrity in production. In this paper, the surface integrity of ultra-high-strength steel 45CrNiMoVA was investigated under three cutting fluids: HY-103 (micro-emulsion), TRIM E709 (emulsion), and Vasco 7000 (micro-emulsion) from the aspects of cutting force, surface morphology, residual stress, micro hardness, microstructure, etc. The results showed that the changing trend of the cutting forces in three directions is HY-103 > Vasco 7000 > TRIM E709. The TRIM E709 contains the maximum lubricants, which reduce cutting force and Sa roughness, while the Vasco 7000 contains the minimum corrosive elements, which results in the least pitting. Both tangential and axial stresses under cutting fluid are tensile stresses. TRIM E709 and Vasco 7000 are reduced axially by 4.45% and 7.60% relative to HY-103, respectively. The grain refinement layer depths of HY-103, TRIM E709, and Vasco 7000 are 9 μm, 4 μm, and 8 μm, respectively, and TRIM E709 can induce recrystallized grains to grow along {001} of the sample cross section, which results from the lowest cooling rate. This work may provide an innovative control strategy for cutting fluid to improve surface integrity and service performance.