Twinning in hexagonal close-packed Mg alloys has been reported to be unfavorable when the grain size is reduced below a couple of microns and suppressed at the nanoscale. Using high-resolution transmission electron microscopy, we present evidence of nanotwins (<1 nm) in nanocrystalline Mg–Al alloys processed by cryomilling. The commonly observed twinning modes for coarse-grained Mg are identified and supported with atomistic molecular dynamics simulations. The specific thermomechanical conditions offered by cryomilling facilitate the generation of deformation twins that are not observed with conventional deformation processing methods.