The evolution mechanism of the microstructure and mechanical properties of a Mg–Y-Nd-Gd-Zr alloy subjected to different numbers of passes of the ultrasonic surface rolling process (USRP) was investigated. The results demonstrated an initial decrease followed by an increase in the surface roughness of the alloy. The optimal surface roughness was achieved after four passes, with a contour mean deviation of 0.06 μm and micro-roughness 10-point height of 0.55 μm. After the USRP, the alloy exhibited a composite gradient structure characterized by increased grain size and decreased dislocation, lamination, and twin densities. The depth of the gradient layer increased with each additional USRP pass, ranging from 650 μm (1 pass) to 910 μm (8 passes). Furthermore, the USRP treatment effectively enhanced the alloy strength; compared with the untreated samples; the yield strength increased by 34.2% in the gradient sample after one pass. No significant change was observed in the YS with an increasing number of rolling passes for Mg alloys, whereas both the tensile strength and elongation showed improvements. High-density twinning played a crucial role in enhancing the YS of the gradient samples without significant variation across different numbers of rolling passes, thus following a consistent pattern. The formation of more nanocrystals on the surface of Mg alloys after multiple rolling cycles is key to preventing premature fracture failure and improving the work-hardening rate.