Whether it is fossil energy or renewable energy, the storage, efficient use, and multi-application of energy largely depend on the research and preparation of high-performance materials. The research and development of energy storage materials with a high capacity, long cycle life, high safety, and high cleanability will improve the properties of energy storage systems and promote their wide application. In recent years, Mg-based materials, from a comprehensive consideration of energy storage performance, raw material reserves, and prices, have demonstrated potential industrial applications as large-scale hydrogen storage materials. Nevertheless, Mg-based materials also have obvious disadvantages: as a hydrogen storage material, the hydrogen absorption/desorption rate is insufficient, as well as the high hydrogen absorption/desorption temperatures; as the electrode material of Ni-MH batteries, the reactions of Mg with alkaline electrolyte and corrosion are the main problems for applications. This article reviews different surface treatment methods and mechanisms for surface modifications of Mg-based materials for hydrogen storage and Ni-MH battery applications, as well as the performance of the materials after surface modifications. Multiple experimental studies have shown that the surface layer or state of Mg-based materials has a strong impact on their performance. Surface modification treatment can greatly improve the energy storage performance of magnesium-based materials for hydrogen storage and Ni-MH battery applications. Specifically, Mg-based materials can have a lower hydrogen absorption/desorption temperature and a faster hydrogen absorption/desorption rate when used as hydrogen storage materials and can improve the corrosion resistance, initial discharge capacity, and cycling stability in alkaline solutions when used as negative electrode materials for Ni-MH batteries. By offering an overview of the surface modification methods for Mg-based materials in two energy storage fields, this article can improve researchers’ understanding of the surface modification mechanism of Mg-based materials and contribute to improving material properties in a more targeted manner. While improving the material properties, the material’s preparation and surface modification treatment process are considered comprehensively to promote the development, production, and application of high-performance Mg-based materials.