The aim of the present paper is to apply the laser powder bed fusion process to a new biodegradable Mg-Zn-Zr-Ca alloy powder prepared via a mechanical alloying method from powder pure components. This additive manufacturing method is expected to allow for the obtaining of high biomechanical and biochemical performance. Various processing parameters for laser powder bed fusion are tested, with a special focus on laser energy density—E [J/mm3]—which is calculated for all experiment variants, and which represents an important processing parameter, dependent upon all the rest. The goal of all the trials is to find the most efficient schema for the production of small biodegradable parts for the medical domain, meaning the selection of optimal processing parameters. An important observation is that the most robust and homogeneous samples without cracks are obtained for lower values of the E, around 100 J/mm3. Thus, the most performant samples are analyzed by scanning electron microscopy, X-ray diffraction and by compression mechanical test.