The impact of the anodic second phase, Mg41Nd5 in as-extruded Mg–4Li-3Nd-0.2Zn alloy was first reported as a candidate anode material for primary Mg-air batteries. Solid solution treatment of Mg–4Li-3Nd-0.2Zn was conducted at 400, 450, and 500 °C for 8 h. The electrochemical behaviour and discharge performance were investigated using microstructural characterization, electrochemical measurements, and discharge tests. The results indicated that solid solution treatment led to increased grain size and reduced volume fraction of the anodic second phase (Mg41Nd5) with a uniform distribution. In turn, the anode electrochemical activity was promoted, and the bulk effect was reduced. The anode efficiency and comparison capacity were significantly improved. At 5 mA cm−2, the average discharge voltage reached as high as 1.45 V with a utilization efficiency of 61.29%, and a discharge capacity of 1358.98 mAh·g−1 for the solid solution-treated sample at 450 °C, making it the excellent candidate anode material for Mg-air batteries.