The underlying mechanism of co-segregation of alloying elements at the grain boundary and its influence on mechanical properties are elaborated in Mg-Zn-Ca alloys by integrated experimental characterizations and ab initio calculations. Significant co-segregation of Zn and Ca at the grain boundary is detected in the Mg-Zn-Ca ternary alloy, leading to an important contribution to the simultaneous improvement of strength and ductility. The relatively strong electronic interactions between Zn and Ca are demonstrated to promote the formation of Zn-Ca ionic bonds and greatly decrease the segregation energy. It, in combination with the atomic-size-related preferred occupations of Zn and Ca, primarily contributes to their significant co-segregation at the grain boundary. The obvious co-segregation of Zn and Ca remarkably decreases grain size, significantly contributing to the improved strength. In addition, coarse twins and the associated cracking are efficiently suppressed in plastic deformation owing to the decreased grain size. Furthermore, the co-segregation significantly increases grain boundary cohesion strength and decreases grain boundary energy, which can delay the initiation of grain boundary cracks and accommodate high stress to activate non-basal slips. In addition, the high-angle grain boundaries stabilized by alloying element co-segregation promote the transmission of non-basal slip pairs and stress relaxation at the grain boundary and improve ductility ultimately. The present advances enhance the understanding required for evading the strength and ductility trade-off in Mg alloys by tailoring alloying element segregation.