A new composite extrusion method of Mg alloys was proposed which combined extrusion and one-time shear (ES). ES devices suitable for the thermal simulation instrument Gleeble1500D were designed and made and the theoretical simulation experiments were conducted. ES thermal-mechanical coupled finite element models were established based on the commercial DEFORMTM-3D software for FE simulation. The strain rate, extrusion force and stress-strain of the billet were studied during the deformation process. A new recrystallization mode has been discovered, which is different from the traditional recrystallization process and known as the “double-stage dynamic recrystallization”. In the extrusion stage, the accumulation strain value is smaller, and a little dynamic recrystallization happens. However, the equivalent strain rate of magnesium alloy billets after one-time shear rises rapidly, and the second phase of more dynamic recrystallization occurs. Microstructures of magnesium alloy billets are gradually refined after two phases dynamic recrystallization