In order to clarify the anisotropic mechanical behavior and corresponding microstructure evolution of extruded AZ31 Mg alloy under combined stress states, modified shear-tension specimens (STSs) and shear-compression specimens (SCSs) were specifically designed and tested by means of quasi-static uni-axial loading. The specimens with beveled opposed slots of different angles (0°, 15°, 30°, 45°, 60° and 75°) are used to obtain different τ/σn ratio (SN Ratio, τ/σn). With the SN Ratio increasing, different mechanical properties between STSs and SCSs are observed, i.e., equivalent yield strength and strain-hardening rate. These differences in deformation behavior are resulted from the activation stresses for twinning and slips. It is found that the deformation of extruded AZ31 Mg alloy under combined shear-tension stresses is dominated by the typical slips. In contrast, twinning dominates the deformation under combined shear-compression stresses. Noticeably, the ductility of extruded AZ31 could be effectively improved by a small shear (about half normal stress), because the prismatic slip is further activated under τ stress component and promotes the major deformation under σn stress based on microstructure and texture analysis. In addition, it is found that the fracture mechanism transformed from the micro-voids growth and coalescence to the internal voids shearing with the SN Ratio increasing from 0 to 3.732.