Encoding information onto optical fields using electro-optical modulation is the backbone of modern telecommunication networks, offering vast bandwidth and low-loss transport via optical fibers. For these reasons, optical fibers are also replacing electrical cables for short range communications within data centers. Compared to electrical coaxial cables, optical fibers also introduce two orders of magnitude smaller heat load from room to milli-Kelvin temperatures, making optical interconnects based on electro-optical modulation an attractive candidate for interfacing superconducting quantum circuits and hybrid superconducting devices. Yet, little is known about optical modulation at cryogenic temperatures. Here we demonstrate a proof-of-principle cryogenic electro-optical interconnect, showing that currently employed Ti-doped lithium niobate phase modulators are compatible with operation down to 800mK ---below the typical operation temperature of conventional microwave amplifiers based on high electron mobility transistors (HEMTs)---and maintain their room temperature Pockels coefficient. We utilize cryogenic electro-optical modulation to perform spectroscopy of a superconducting circuit optomechanical system, measuring optomechanically induced transparency (OMIT). In addition, we encode thermomechanical sidebands from the microwave domain onto an optical signal processed at room temperature. Although the currently achieved noise figure is significantly higher than that of a typical HEMT, substantial noise reduction should be attainable by harnessing recent advances in integrated modulators, by increasing the modulator length, or by using materials with a higher electro-optic coefficient, leading to noise levels on par with HEMTs. Our work highlights the potential of electro-optical modulators for massively parallel readout for emerging quantum computing or cryogenic classical computing platforms.