Magnesium foams are fabricated by melt foaming method using coated CaCO3 as blowing agent. Macro-micro structure characteristics of magnesium foams are investigated by OM, SEM, EDS and XRD methods. The results show that the macro pores are given priority to with closed-cell structure. Meanwhile it contains some communicated pores and big pores, these positions usually generate macro cracks during compression. Fold defects and reaction products MgO and CaO particles diffusely distribute on the pore inner walls, create stress concentration and cause micro cracks. Pore walls are mainly composed of SiC particles introduced at the thickening stage and second phases Mg2Ca. Furthermore, compressive properties and energy absorption performances are tested and the fracture mechanism is studied. Elastic deformation and yield strength increase with decreasing porosity. Yield strength and plateau stress reduce dramatically with increasing pore size, namely magnesium foam shows an evident aperture effect. Besides, energy absorption performances significantly decrease with increasing porosity or pore size. And magnesium foam shows cleavage fracture during compression due to the micro structure of pore walls and the characteristic of magnesium substrate.