Limited ductility consistently poses a challenge for high-strength Mg–RE (rare earth) structures prepared by additive manufacturing. Particularly following heat treatment, while the strength of the Mg–RE alloy experiences a substantial increase, there is a noteworthy decrease in its ductility. Herein, a novel Mg–Gd–Al–Zr–Zn thin wall was successfully fabricated by cold metal transfer-based wire-arc directed energy deposition (CMT-WA-DED) and Al alloying. The microstructural evolution and mechanical properties of deposited and heat-treatment alloys were elucidated systematically. By adding Al element, Al2Gd and Al–Zr phases with thermal stability were precipitated in the deposited alloy. During the solidification or heat treatment stage, Al2Gd and Al–Zr phases could pin grain boundaries to restrict grain growth. The as-deposited alloys exhibited fully equiaxed grains at different heights and orientations. Thus, the thin wall exhibited good isotropic performance. After the heat treatment, the grain size only slightly grew and no abnormal grain growth was observed. Various morphologies of β precipitation phases were discovered along grain boundaries and within the grains. Additionally, a high density of β' and β1 phases within the grains and β phases along the grain boundary played pivotal roles in enhancing the mechanical strength of the Mg–Gd–Al–Zr–Zn alloy. The alloys exhibited an excellent combination of strength and ductility with ultimate tensile strength of 340 ± 7 MPa, yield strength of 212 ± 5 MPa, and elongation of 12.7 ± 0.9 %. This work provides theoretical and practical reference value for the Mg–RE structures obtaining an excellent combination of strength and ductility prepared by additive manufacturing.