Friction stir processing (FSP) has been applied to fabricate 10~20 vol% nano-sized ZrO2 and 5~10 vol% nano-sized SiO2 particles into an Mg-AZ31 alloy to form bulk composites under the FSP parameters of advancing speed of 800 rpm and pin rotation of 45 min/min. The microstructures and mechanical properties of the resulting composites were investigated. The clustering size of nano-ZrO2 and nano-SiO2 particles, measuring average ~200 nm was relatively uniformly dispersed, and the average grain size of the both Mg alloy of the composites varied within 1.0~2.0 μm after four FSP passes. No evident interfacial product between ZrO2 particles and Mg matrix was found during the FSP mixing in AZ31-Mg/ZrO2. However, significant chemical reactions at the AZ31-Mg/SiO2 interface occurred to form the Mg2Si phase. The mechanical responses of the nano-composites in terms of hardness and tensile properties are examined and compared.