Drilling is an indispensable machining operation for manufacturing bulk metallic glass (BMG) medical appliances, which generally have complicated shapes and require high dimensional accuracy. Unfortunately, the available research on the drilling of BMG is limited, and thus reliable guidelines for practical production are lacking. For this reason, this paper focuses on the BMG machinability in the industrial range. The high-speed drillings of BMG specimens were carried out in dry, wet (cutting fluid), and frozen (icing clamp) conditions. The relationship between the thrust force, torque, drilling energy, tool life, tool wear, as well as the hole quality (burrs, diameter deviation, taper angle, and circularity) were studied. The cooling methods and matching spindle speeds were optimized, and the investigation has shown that wet drilling with high spindle speed is the most suitable method for machining BMG as it resulted in the longest tool life and the highest hole quality. Tool failure modes for all cooling methods included plastic deformation and rake face abrasions, in addition to the abrasive and adhesive wear on flank face. The chip adhesion to the entry hole was identified as the primary cause for the large entry burr. Finally, the crown-shaped exit burr rupture triggered the warpage and tearing of the material around the hole.