As a product of in the preparation of Cu–Al clad composites, intermetallic Cu9Al4 greatly affects the mechanical properties of the composites due to its high hardness and poor plasticity, which limits its application. Here, Cu9Al4 is used as an additive to improve the hydrogen storage performance of Mg. Thereby, the Cu9Al4 was introduced into Mg to prepare the Mg‒x wt.% Cu9Al4 composites (x = 0, 5, 10, 15, 20 and 25) by high-energy ball milling. The microstructure and phase composition of the composites under different states were analyzed. The hydrogen absorption and desorption kinetics and thermodynamics of the composites at different temperatures are investigated. Compared with pure Mg, the addition of Cu9Al4 can significantly improve the dehydrogenation kinetics of Mg. With the increase of Cu9Al4 content, the hydrogen desorption rate gradually increased. When the Cu9Al4 content was 20 wt.%, the dehydrogenation activation energy calculated according to JMAK kinetic model and Arrhenius equation was the lowest (96.84 kJ mol−1), and it had the best hydrogen desorption kinetics. Especially, the phase transition of the first hydrogen absorption process for the Mg‒20 wt.% Cu9Al4 was studied in detail. The results show that the Cu9Al4 phase first transforms into (Cu1.3Al0.7)Mg during the first hydrogenation, and then Mg reacts with H2 to generate MgH2. In the subsequent dehydrogenation and re-hydrogenation cycles, the (Cu1.3Al0.7)Mg is stable and does not change.