Strong anisotropic mechanical behaviour due to texture is one of the key factors restricting the processing procedure of wrought magnesium alloys. This pronounced anisotropy, however, cannot be characterized by only classical isotropic or kinematic hardening due to the constant shape of yield surface during plastic deformation. Therefore, the shape evolution of yield surface, also known as distortional hardening is the main way to capture the anisotropic behaviour. Based on elasto-plasticity theory at finite strain, constitutive model with distortional hardening for Mg alloys is proposed. The thermodynamical consistency is proved. The anisotropic mechanical behaviour of AZ31 sheet under non-proportional loading is demonstrated after model parameters identification.