<p>A new mathematical structure, called the cross-dimensional mathematics (CDM), is proposed. The CDM considered in this paper consists of three parts: hyper algebra, hyper geometry, and hyper Lie group/Lie algebra. Hyper algebra proposes some new algebraic structures such as the hyper group, hyper ring, and hyper module over matrices and vectors with mixed dimensions (MVMDs). They have sets of classical groups, rings, and modules as their components and cross-dimensional connections among their components. Their basic properties are investigated. Hyper geometry starts from the mixed-dimensional Euclidean space and hyper vector space. Then the hyper topological vector space, hyper inner product space, and hyper manifold are constructed. They have a joined cross-dimensional geometric structure. Finally, the hyper metric space, topological hyper group and hyper Lie algebra are built gradually, and finally, the corresponding hyper Lie group is introduced. All these concepts are built over MVMDs, and a couple of the most general semi-tensor product (STP) and semi-tensor addition (STA) are introduced. Some existing structures/results about STPs/STAs have also been resumed and integrated into this CDM.</p>