The Mg-Al hydrogen storage alloy was successfully prepared by combustion synthesis (CS) method. The formation of alloy phases during the CS process was studied using X-ray diffraction (XRD), scanning electron microscope (SEM), and differential scanning calorimetry (DSC). When the time increases from 0, 0.5, 1.0 to 2.0 h at 733 K, the products are Mg and Al; Mg2Al3, Mg and Al; Mg17Al12, Mg2Al3; and Mg; and eventually only Mg17Al12, respectively. Combined with three peaks in the DSC traces, it is concluded that the formation of Mg17Al12 during the CS includes three processes, namely, the formation of Mg2Al3 first; then the unsaturated solid solution, Mg17Al12; and finally the complete Mg17Al12 alloy. The formation of Mg2Al3 prior to Mg17Al12 in this work is different from those prepared by mechanical alloying. This is thought to be related to the instant high temperature during the thermal explosion of CS.