This paper consists of a review of investigations and the factors affecting the fatigue of Mg and its alloys. The effect of materials, loading conditions and environmental factors on fatigue is discussed in detail. Particular attention has been paid to the influence of frequencies and the pH value of solutions on the fatigue life. The correlation between the threshold stress intensity factor range (ΔKth) and load ratio (R) for Mg alloy fatigue crack propagation (FCP) is summarized in a figure. Finally, the mechanisms of fatigue and corrosion fatigue (CF), crack initiation and crack propagation are also discussed.