The development of efficient cryogenic magnetic refrigerants requires materials that combine a large magnetocaloric effect (MCE) with suppressed long-range magnetic ordering. Here, we report the structural, magnetic, thermodynamic, and magnetocaloric properties of the magnetically frustrated borate LiCoGd₅(BO₃)₆. X-ray diffraction and Rietveld refinement confirm that the compound crystallizes in the hexagonal P6₅22 structure, where Gd³⁺ ions form triangular magnetic networks interconnected by rigid BO₃ units and LiO₆ polyhedra. Partial substitution of Gd³⁺ by magnetic Co²⁺ introduces competing exchange interactions, giving rise to a highly frustrated magnetic state. Magnetic susceptibility reveals dominant antiferromagnetic interactions with a Curie–Weiss temperature of θ_CW ≈ -140 K, while no long-range magnetic ordering is observed down to 2 K, corresponding to a frustration parameter f > 70. Heat-capacity measurements further show the absence of a any sharp feature/λ-type anomaly and the emergence of a broad field-dependent magnetic contribution at low temperatures, indicative of persistent short-range spin correlations. The maximum magnetic entropy change reaches 52 J/kg-K under a magnetic field change of 0-9 T, such a high value is rarely observed. This demonstrates excellent cryogenic magnetocaloric performance despite the absence of long-range magnetic order. These results highlight the role of magnetic frustration and competing exchange interactions in preserving magnetic entropy and establish LiCoGd₅(BO₃)₆ as a promising platform for low-temperature magnetic refrigeration.