Magnesium (Mg) and its alloys, as the lowest density metallic structural alloys, have been widely employed across various industries, including electronic communication, automotive, aircraft, defense, and military. While Mg alloys are susceptible to issues like pitting or stress corrosion when utilized as key structural components in humid environments, resulting in corrosion fatigue, stress corrosion cracking, or even complete corrosion failure, which impedes their broader applications. To address these disadvantages of Mg alloys, surface self-nanocrystallization (SSNC), involving refining the grain size to create a nanosurface layer, has been proposed to delay or mitigate the initiation and propagation of cracks, thereby significantly enhancing corrosion resistance. The purpose of this paper is to review the effects of various surface self-nanocrystallization techniques, including surface mechanical attrition treatment, high-energy shot peening, ultrasonic surface rolling processing, laser shock peening, and supersonic particle bombardment, on the microstructure and properties of Mg alloys. Additionally, the mechanisms underlying the surface nanocrystallization-induced microstructural evolution in Mg alloys and the factors influencing their corrosion resistance are systematically summarized. Finally, the current challenges and prospects are discussed as well.