For the first time, a Mg based Mg–La–O hydrogen storage nano-composite was prepared through an arc plasma method followed by passivation in air. XRD, TEM and PCT techniques were used to characterize the phase components, microstructure and hydrogen sorption properties of the nano-composite. It is shown that the Mg–La–O composite is mainly composed of ultrafine Mg, nano-structured MgO and La2O3. TEM analysis shows that those Mg ultrafine particles were covered by MgO and La2O3 nano particles, forming a special core–shell structured metal-oxide composite. Based on the PCT measurements, the hydrogenation and dehydrogenation enthalpies of the composite are determined to be −71.9 kJ/mol H2 and 75.9 kJ/mol H2, respectively. The apparent activation energy for hydrogen adsorption is measured to be 41.98 kJ/mol H2. The results gathered in this study showed that those oxide nano-particles, especially La2O3, can act as channels for the hydrogen sorption of Mg ultrafine particles, leading to the significantly improved hydrogen sorption kinetics over pure Mg ultrafine powders.