Extruded AZ31 magnesium alloy was used as raw specimens, and pre-deformation experiments were conducted in the direction of ∥ED (extrusion direction) and ⊥ED at room temperature. The instantaneous deformation stress state of a cross-sectional reduced wall was simulated in the cold Pilgering process. Then, the pre-deformed specimens were sampled for secondary compression, and the microstructure after two deformations was characterized by electron backscatter diffraction. The effects of structure and texture on mechanical behavior under the condition of strain path change were investigated. Results show that the yield strength of the AZ31 magnesium alloy is improved by pre-deformation. The improvement is attributed to the {102} tension twins resulting from the pre-deformation, further resulting in grain refinement and increase in dislocation density. Moreover, the appearance of twinning changes the grain orientation. The weakening of the basal texture (or the strengthening of the twin texture) may play an important role in improving the mechanical properties of the AZ31 magnesium alloy. The yield strength of the ∥ED-3% and ⊥ED-3% samples is increased by 66.7% and 6.6%, respectively.