The utilization of hydrogen energy has attracted great attention, while the storage and transportation of hydrogen restrict its wide practical application. As a solid hydrogen storage material, Mg-based alloys show great potential in the field of hydrogen storage. However, the high temperature of hydrogen absorption and release, and the slow rate of hydrogen release cast a shadow on its engineering application. To improve the hydrogen storage capacity of Mg-based alloys, the researches mainly focus on the optimization of alloy composition and the improvement of processing technology, and nano refinement is one of the most promising methods. In this study, all the processing technologies of nanostructured Mg are introduced, including high energy ball milling, physical vapor deposition, hydriding chemical vapor deposition, liquid-phase chemical synthesis and template method. The advantages and disadvantages of each method are also analyzed. The effect of nanostructure and element doping on the hydrogen storage property of Mg-based alloys is summarized. This study provides a reference for the research of the material development and improvement of preparation technology in hydrogen storage field.