Phosphorous has strong segregation tendency to GB in steels and causes embrittlement in various conditions. Previous experimental results showed that Mg might have positive effect on reducing P’s negative effect in 2.25Cr-1Mo steel. This study employed first-principles theory calculations to investigate the segregation behavior of P and Mg, and also the interactions between Mg and P at α-Fe Σ3(111) symmetrical tilt GB. The results demonstrate that P and Mg are all segregate to the grain boundary, and P has a stronger segregation potency. Mg prefers substituting the location right at the GB plane with the largest solution space while P inclines to the sites with the nearest Fe atoms to form strong covalent-like Fe-P bonds. When the GB is decorated with Mg, the segregation behavior of P might be greatly inhibited by considering the decreased possible solution sites and the increased segregation energy. In GB, P has stronger interactions with Mg by forming lower energy hybridization peak. These results can be used to explain that when a small amount of Mg doped, the temper embrittlement will be moderated inhibited.