Magnesium (Mg), with a density of two-thirds of aluminium (Al) and one-fourth of steel, has become one of the most attractive materials for automotive and aerospace industries owing to the obligation to reduce fuel consumption and gas emissions. However, the poor mechanical property of Mg is one of the most significant barriers to its widespread use. The most widely used method to increase the use potential of Mg is the development of Mg matrix composites. This review focuses on the mechanical properties of recent Mg matrix composites. The effect of different reinforcement materials on the mechanical behaviour and failure mechanisms of Mg matrix composites was evaluated in detail.