This study investigated the effects of mechanical-polishing-induced surface roughness and the direction of polishing lines on the bending properties of a rolled AZ31 alloy. To this end, three-point bending tests were performed on one sample without polishing lines (SS sample) and two samples with polishing lines—one in which the polishing lines were parallel to the rolling direction (RS-RD sample) and the other in which they were parallel to the transverse direction (RS-TD sample). In all three samples, macrocracks were formed in the width direction on the outer surface, where tensile stress was predominantly generated in the longitudinal direction. However, the macrocracks formed in the SS sample were curved because of the merging of uniformly formed fine microcracks, whereas those formed in the RS-TD sample were linear owing to the formation of relatively coarse microcracks along the polishing lines. The bendability of the samples was in the order of SS > RS-RD > RS-TD, and their limiting bending depths were 4.8, 4.6, and 4.4 mm, respectively. In the presence of mechanical-polishing-induced surface roughness, polishing lines perpendicular to the direction of the major stress (i.e., tensile stress along the longitudinal direction) resulted in a greater degree of stress concentration on the outer surface of the bending specimen. This higher stress concentration promoted the formation of undesirable {10–11} contraction and {10–11}–{10–12} double twins—which typically act as crack initiation sites—and thereby facilitated crack generation and propagation. Consequently, the surface roughness caused premature fracture during bending deformation, which, in turn, caused deterioration of the bendability of the rolled Mg alloy.