In this study, the AZ31 Mg alloy sheets were fabricated by the traditional process of air cooling after rolling and a new process of cryogenic treatment after rolling. The effect of cryogenic treatment after rolling on the mechanical properties, texture and microstructure of AZ31 Mg alloys were studied. The results showed that the {10–12} extension twin, {10–11} contraction twin and {10–12}-{10–11} double twin were observed in the samples of cryogenic treatment after rolling. All samples mainly exhibited the {0001} <11–20> basal texture. Compared with the sample of air cooling after rolling, the basal texture intensity of cryogenic treatment after rolling samples was significantly weakened. The mechanical properties of the samples of cryogenic treatment after rolling were remarkably enhanced with respect to the air cooling after rolling sample. The sample of cryogenic treatment after the rolling that was rotated by 45° along the rolling direction (RD) exhibits the highest ultimate tensile strength (∼283 MPa) and increases by 18.4% compared to the air cooling after rolling sample. This is attributed to twin strengthening, fine-grained strengthening, precipitation strengthening, grain boundary strengthening and dislocation strengthening. The elongation of the sample of cryogenic treatment after the rolling that was rotated by 45° along the RD increased by 87.0% by contrast to the air cooling after rolling sample, reaching ∼25.8%, attributing to grain refinement, the weakening of texture and the activation of pyramidal <c+a> slip.