Low‐thermal‐expansion alloys play a crucial role in high‐precision instruments and devices. Simultaneously improving mechanical performance and keeping or even decreasing low thermal expansion behavior are urgently required for their industrial application. Herein, a new attempt to treat Fe–36Ni Invar alloy by adding trace magnesium (Mg) in a concentration ranging from 0 wt% to 0.0030 wt% (similarly hereinafter) is conducted. The introduction of Mg results in grain refinement and an increase in the volume fraction of the annealing twins. Compared with the Mg‐free sample, the coefficient of thermal expansion (CTE) of 0.0030% Mg alloy is significantly decreased by more than 20%, which is mainly related to lattice distortion and matrix purification. The yield strength of 0.0030% Mg alloy improves by 10% with respect to Mg‐free alloy, because of grain boundary strengthening and solid‐solution strengthening. The study may lay the basis for a better understanding of the application of Mg in low‐thermal‐expansion alloys.