In the paper we present three atomic decomposition theorems of Lorentz martingale spaces. With the help of atomic decomposition we obtain a sufficient condition for sublinear operator defined on Lorentz martingale spaces to be bounded. Using this sufficient condition, we investigate some inequalities on Lorentz martingale spaces. Finally we discuss the restricted weak-type interpolation, and prove the classical Marcinkiewicz interpolation theorem in the martingale setting.