Finding a suitable anode material is a key part of the development of Mg-ion batteries (MIBs) to commercialize. In this work, an outstanding Silicene/BN heterostructure was discovered as a candidate anode material for MIBs by using first-principles calculations. The mixed sp2/sp3 orbital hybridization of silicon atoms makes Silicene monolayer easy to adsorb Mg atoms. The introduction of BN monolayer can effectively buffer the structural deformation and improve the electrochemical performances. Compared to pristine Silicene, the Silicene/BN heterostructure exhibited higher structural stability and Mg adsorption capacity. The diffusion of Mg ions in the heterostructure interlayer was easier with a low barrier of 0.160 eV than that on the Silicene monolayer. A comparable low open circuit voltage (0.112 V) was also observed. These results indicated the potential of Silicene/BN heterostructure as a high-performance anode material for MIBs.