Cryogenic rolling experiments have been conducted on the AZ31 magnesium (Mg) alloy sheet with bimodal non-basal texture, which is fabricated via the newly developed equal channel angular rolling and continuous bending process with subsequent annealing (ECAR-CB-A) process. Results demonstrate that this sheet shows no edge cracks until the accumulated thickness reduction reaches about 18.5%, which is about 105.6% larger than that of the sheet with traditional basal texture. Characterization experiments including optical microstructure (OM), X-ray diffractometer (XRD), and electron backscatter diffraction (EBSD) measurements are then performed to explore the microstructure characteristics, texture evolution and deformation mechanisms during cryogenic rolling. Experimental observations confirm the occurrence of abundant {10–12} extension twins (ETs), twin-twin interactions among {10–12} ET variants and {10–12}-{10–12} double twins (DTs). The twinning behaviors as for {10–12} ETs are responsible for the concentration of c-axes of grains towards normal direction (ND) and the formation of transverse direction (TD)-component texture at the beginning of cryogenic rolling. The twinning behaviors with respect to {10–12}-{10–12} DTs are responsible for the disappearance of TD-component texture at the later stage of cryogenic rolling. The involved deformation mechanisms can be summarized as follows: Firstly {10–12} ETs dominate the plastic deformation. Subsequently, dislocation slip, especially basal <a> slip, starts to sustain more plastic strain, while {10–12} ETs occur more frequently and enlarge continuously, resulting in the formation of twin-twin interaction among {10–12} ET variants. With the increasing rolling passes, {10–12}-{10–12} DTs incorporate in the plastic deformation and dislocation slip serves as the major one to sustain plastic strain. The activities of basal <a> slip, {10–12} ETs and {10–12}-{10–12} DTs benefit in accommodating the plastic strain in sheet thickness, which contributes to the improved rolling formability in AZ31 Mg alloy sheet with bimodal non-basal texture during cryogenic rolling.