Nano-precipitation can effectively pin the dislocations and inhibit the dislocations’ motion, making precipitation strengthening one of the most crucial strengthening mechanisms in magnesium (Mg) alloys. Consequently, controlling the segregation of elements at the coherent interfaces to induce the phase precipitation, has become an innovative way of designing Mg alloys. In this study, a novel twin-precipitation composite gradient structure GZ151K (Mg-15Gd-1Zn-0.4Zr) alloy was prepared using ultrasonic surface rolling process (USRP) and heat treatment. The results indicated that the USRP-treated samples subjected to aging treatment demonstrated high thermal stability without significant twin degradation. Additionally, the twin boundaries and grain boundaries could act as the nucleated points for the (Mg, Zn)5Gd phases during the subsequent aging treatment, and further formed the twin-precipitation composite gradient structure. This unique composite gradient structure of alloys treated by USRP and aging treatment was caused by an extra promotion-precipitation strengthening mechanism. Under the effects of promotion-precipitation strengthening, strain hardening, and precipitation strengthening, the mechanical properties of the GZ151K alloy were significantly improved.