Two-dimensional (2D) semiconducting materials with distinct anisotropic physical properties have attracted intense interests. Herein, we show theoretical predictions that MgXN2 (X = Hf/Zr) monolayers are auxetic semiconductors with highly anisotropic electronic, optical, and mechanical properties. The density functional theory calculations coupled with a PSO algorithm (global-minimum search) suggest that both MgHfN2 (MgZrN2) monolayers exhibit orthorhombic symmetry (Pmma) and are direct-gap (indirect-gap) semiconductors with a bandgap of 2.43 eV (2.13 eV). Specifically, the MgHfN2 monolayer exhibits highly anisotropic hole mobility as well as very high electron mobility (∼104 cm2 V-1 s-1). G0W0+BSE calculations indicate that both monolayers bear notable optical anisotropy and relatively large exitonic binding energy (∼0.6 eV). In addition, both monolayers acquire remarkable mechanical anisotropy with a negative in-plane Poisson's ratio (∼-0.2) and high Young's modulus (∼260 N/m). The combination of highly anisotropic electronic, optical, and mechanical properties endows MgXN2 monolayers as potentially useful parts in multifunctional nanoelectronic devices.