First-principles theory calculations were used to investigate the segregation behavior of P and Mg as well as the interactions between Mg and P at α-Fe Σ3(111) symmetrical tilt grain boundary (GB). Results demonstrate that both P and Mg are segregated at GB, and P has a stronger segregation potency. Mg prefers to substitute at grain boundary plane with the largest absorbable vacancy, whereas P inclines to substitute at the sites near Fe atoms to form strong covalent Fe-P bonds. When Mg exists at GB, the segregation behavior of P may be greatly inhibited by the decrease in possible solution sites and the increase in segregation energy. P has stronger interactions with Mg at GB, forming a lower energy hybridization peak. These results can be used to explain why the addition of a small amount of Mg can ameliorate the temper embrittlement phenomenon.