It is widely known that the continuous extrusion forming (CONFORM) process can produce ultra-long seamless products of various cross-sections for aluminum, copper and their alloys. In this paper, the continuous extrusion of AZ31 magnesium alloy is achieved. The effect of extrusion wheel velocity on microstructure of extrusions is investigated. The results indicate that grain refinement is realized during CONFORM process. As the extrusion wheel velocity increases, the grain size at the center of a cross section perpendicular to the extrusion direction of an extrusion increases, and the grain structure tends to become uniform in the surface region.