In recent decades, the demand for lightweight and high specific strength materials brings about the development of magnesium matrix composites. Different from some traditional binary ceramic particles, such as SiC, Al2O3, the novel ternary nano-layered Mn+1AXn (MAX) phase carbide or nitride ceramics exhibit metal-like properties and self-lubricate capacity (where “M” is an early transition metal, “A” belongs to the group A element, “X” is C or/and N, and n = 1–3). Ti2AlC, as the representative of the MAX phase, was interestingly introduced into the magnesium matrix. Layered Ti2AlC MAX phased reinforced AZ91D magnesium composites manufactured through the stir casting exhibit sufficient deformation capacity due to unique deformation behaviors of MAX, namely delamination and the formation of kinking band. Further, the Ti2AlC-AZ91D composites exhibit a distinctive characteristic in strengthening mechanism, damping mechanism and tribological capacity due to the other special properties of MAX phase, such as self-lubricated property. Accordingly, to give a comprehensive understanding, we overviewed the fabrication process, microstructural characterization, mechanical properties, damping property and tribological capacity on these composites. In order to understand the A-site effect in MAX phase on the microstructure, we introduced another representative Ti3SiC2 MAX phase to explain the interfacial evolution. In addition, due to the high aspect ratio of MAX, MAX particles could be orientationally regulated in Mg matrix by plastic deformation such as hot extrusion. Herein, we discussed the anisotropic mechanical and physical properties of the textured composites produced by hot extrusion. Moreover, the potential applications and future development trends of MAX phases reinforced magnesium matrix composites were also given and prospected.