The high demand in the automotive industry for weight savings has resulted in the great interests for magnesium alloys due to their high specific strength and low density. The widespread use of magnesium and its alloys in transportation has been currently limited by poor properties like: low room temperature workability, low creep resistance, low high temperature fatigue resistance, high coefficient of thermal expansion (CTE), and low Young's modulus. Grain refinement was considered to be the best way to increase their ductility and workability. The magnesium alloys with nano-scale grains can be achieved by severe plastic deformation (SPD). To improve the high temperature strength and decrease the CTE, one of the most promising approaches is to develop new composites reinforced with carbon nanotubes (CNTs) and nano-ceramics. Mg-nanocomposites not only possess of the better mechanical properties compared with the monolithic magnesium alloys, but also have comparable corrosion resistance to the monolithic magnesium alloys. The present paper first describes the status of SPD used for the development of nanoscale magnesium alloys. Then the recent developments of magnesium alloy based composites reinforced with nano-ceramics and carbon nanotubes were reviewed.