Fatigue tests were conducted using both extruded and rolled magnesium alloys AZ31 to study anisotropy of the fatigue behavior of the alloys. For the above purpose, two types of specimens whose longitudinal axes are parallel (E specimen) and perpendicular (T specimen) to the extrusion direction were prepared for the extruded Mg alloy. For the rolled Mg alloy, three types of specimens, whose longitudinal axes are parallel (R specimen) and perpendicular (T and S specimens) to the rolling direction, were prepared. S–N curves and crack propagation characteristics for both the extruded and rolled specimens with different longitudinal directions were studied to investigate the effects of the texture, microstructures and residual stresses on the fatigue behavior of the magnesium alloy AZ31. Anisotropy of the fatigue behavior was observed for both the extruded and the rolled magnesium alloys. In the extruded Mg alloy, differences in both fatigue lives and fatigue limit exist between E and T specimens. The fatigue resistance for the former is superior to that of the latter. In the rolled Mg alloy, lesser differences were found between R and T specimens. However, fatigue lives of the S specimens were clearly shorter than those of the former at the high stress amplitudes above the fatigue limit. In the extruded Mg alloy, the rod-like microstructure observed is an important factor contributing to the anisotropy of the fatigue behavior of the alloy. While in the rolled Mg alloy, the texture induced during processing is considered to play a dominant role in the anisotropy of the fatigue behavior of the alloy.