The microstructure evolution of Mg-3Sn, Mg-3Sn-3Al-Zn (ATZ331), and Mg-3Sn-6Al-Zn (ATZ631) alloys during high-speed rolling (HSR) and annealing was studied. High-speed rolling was carried out on the three alloys at a rolling speed of 1100 m/min, a rolling temperature of 400 °C, and a reduction of 40% during a single pass. The results showed that the microstructure of the samples after HSR contained many twins and was dominated by {10−12} extension twins (ETs) and supplemented by {10−11} contraction twins (CTs) and {10−11}-{10−12} double twins (DTs). After adding Al, the content of these different types of twins was reduced. The twinning fraction decreased significantly with 3 wt% Al addition, while the twinning fraction decreased slightly with 6 wt% Al addition. The high-speed rolled alloys were annealed at 370 °C for 1 min, 2 min, 3 min, 5 min, and 8 min. When the annealing time was 1 min, the recrystallization fraction of the ATZ631 alloy was low, indicating that increasing the Al content to 6 wt% inhibited recrystallization. When the annealing time increased to 3 min, the recrystallized grains in the ATZ631 alloy grew, indicating that the grain growth progressed faster in this alloy. When the annealing time was 8 min, the grain size of the three alloys grew. The electron backscattered diffraction (EBSD) results of the alloy annealed for 8 min showed that the twin fraction in the annealed state was lower than that after high-speed rolling. In addition with the increase in Al content, the twin fraction decreased. During high-speed rolling, the maximum intensity also increased with an increase in Al content, were 22.72, 25.09, and 26.35, and the texture of the annealed alloy was weakened. The Al addition also increased the maximum intensity.