This invention is a disposable, sterilized sheath (20) for use on a closed loop Joule-Thomson cryosurgical probe (10), the combination of the disposable sheath (20), and the probe (10). The sheath (20) is slipped over the probe (10), thereby separating the probe (10) from the environment. The sheath has a grip (22) which fits over the handle (12) of the probe (10), and an extendible shroud (23) that can be longitudinally extended to cover tubing (18) which is attached to the handle (12). The sheath (20) has a hollow multi-lumen catheter (24) shaped and sized to fit snugly over the cannula (t4) of the probe (10). The catheter (24) is not thermally conductive, preventing transfer of heat from the ambient to the gas mixture, and preventing the freezing of tissues at undesired locations. A thermally conductive cap or tip (26) fits snugly over the cold tip (16) on the probe (12) and it efficiently transfers heat from the target tissue to the cold tip (16), which in turn transfers heat to the expanded gas mixture. Various forms of auxiliary instrumentation can be mounted on the catheter (24) or conductive tip (16), such as a temperature sensor, a heater, an ultrasonic transducer, or an optical element of a viewing illumination or laser system. Connections between the instrumentation near the distal end of the catheter (24) and the probe (10) are made via a plurality of lumens passing longitudinally through the wall of the catheter (24).