This paper reports on the assembly process and cool-down to cryogenic temperature of the support structure of FRESCA2, which is a dipole magnet for upgrading the actual CERN cable test facility FRESCA. The structure of the FRESCA2 magnet is designed to provide the adequate pre-stress, through the use of keys, bladders, and an Al alloy shrinking cylinder. To qualify the assembly and loading procedures, the structure was assembled with Al blocks (dummy coils) that replaced the brittle Nb3Sn coils, and then cooled-down to 77 K with liquid nitrogen. The evolution of the mechanical behavior was monitored via strain gauges located on different components of the structure (shell, rods, yokes and dummy coils). We focus on the expected stresses within the structure after assembly, loading and cool-down. The expected stresses were determined from the 3-D finite element model of the structure. A comparison of the 3-D model stress predictions with the strain gauge data measurements is made. The coherence between the predicted stresses with the experimental gauge measurements will validate the FEM model of the structure.