In-situ Mg phase reinforced Mg70Cu17Dy13 bulk metallic glass (BMG) matrix composite with diameter of 3 mm was prepared by a conventional Cu-mold casting method. Mechanical properties and deformation behavior of Mg-Cu-Dy alloys were studied. The results show that the Mg70Cu17Dy13 BMG matrix composite exhibits some work hardening except for initial elastic deformation, and achieves a high fracture compressive strength of 702.38 MPa and a plastic strain of 0.81%. The improvement of the mechanical properties is attributed to the fact that the Mg phase distributed in the amorphous matrix of the alloy has effective load bearing and plastic deformation ability to restrict the expanding of shear bands and cracks and produce its own plastic deformation, which is proved by the shear deforming and fracturing mode and the fracture surfaces characterized by the vein patterns, severe remelting and the very rough and bumpy region of the alloy