A sol-gel method was used to improve the interface of whisker reinforced magnesium matrix composite via coating CuO on the surface of Mg2B2O5 whisker. Phase, morphology and interfacial characteristics of CuO-coated Mg2B2O5 whisker and magnesium matrix were investigated by means of X-ray diffraction (XRD), scanning electron microscopy (SEM) and transmission electron microscopy (TEM), respectively. Results indicate that CuO is coated on the surface of the Mg2B2O5 whisker and the interfacial products are MgCu2 and MgO in the CuO-coated Mg2B2O5 whisker reinforced magnesium matrix composite, which result from the interfacial reaction between the magnesium and CuO. The precipitate phase MgZn2 parallel grows on the both sides of whisker and has the crystallographic orientation relationship at the special position between the MgZn2 and Mg2B2O5 whisker, namely, [001] Mg2B2O5//[53] MgZn2 and (100) Mg2B2O5//(011)MgZn2. The ultimate tensile strength and the elongation of the CuO-coated Mg2B2O5 whisker reinforced composite have increased by 37.6% and 35.7%, respectively.