Magnesium alloys have a significant advantage-low density over other structure metals currently and have been widely used in various fields such as transportation and aerospace. With the development of further research and the enlargement of research scope, more advantages have been developed: high storage capacity, high theoretical volumetric energy density, extraordinarily high damping capacity, good biocompatibility, excellent shielding efficiency as well as impressive thermal conductivity. Therefore Mg alloys have the potential to be various functional materials, such as hydrogen storage material, rechargeable electrochemical batteries, damping material, biodegradable implant material, electromagnetic shielding material, and thermal conductive material. Unfortunately, each kind of functional material has bottlenecks or troubles needing to be broken through, and a lot of researches have been carried out in recent years. This review comprehensively covers the research history, progress and the up-to-date summary of Mg and Mg alloys as functional materials. The six kinds of materials above all will be discussed respectively.