The tension-compression yield asymmetry caused by the strengthening of Mg-Zn-Gd-Zr alloy due to extrusion deformation is an important issue that must be addressed in its application. In this study, the effects of loading direction on the tensile and compressive mechanical behaviors of Mg-5Zn-2Gd-0.2Zr alloy were systematically investigated. As the loading angle (the angle between the loading direction and the extrusion direction) increases from 0° to 30°, 45°, 60° and 90°, the tensile yield strength decreases more significantly than the compressive yield strength. Consequently, the tension-compression yield asymmetry is gradually improved. Additionally, the ultimate compressive strength decreases more markedly than the ultimate tensile strength with the increment of the loading angle. In tensile tests conducted at 0°, 30° and 45°, two distinct stages of decreasing strain hardening rates are typically observed. For the 60° and 90° tensile tests, one unusual ascending stage of strain hardening rate is observed. For all compressive tests, three stages of strain hardening are consistently noted; however, the increment in strain hardening rate caused by {10–12} extension twinning decreases with the increasing loading angle. A model combining loading angle and Schmid factor distribution was established. The calculated results indicate that the dominant deformation modes during the yielding process also vary significantly with the loading conditions. This clarification highlights the differences in yield strength variations between tension and compression. Finally, an analysis of the plane trace and crack propagation direction near the fracture surface reveals the fracture mechanisms associated with tensile and compressive tests at different loading directions. This study promotes understanding of the mechanical behaviors of Mg-5Zn-2Gd-0.2Zr alloy under different loading directions, and helps to thoroughly elucidate the anisotropic effects of texture on the mechanical properties of magnesium alloys.