An In Situ observation was made on rolled sheet Mg-Al-Zn alloy (AZ31) in SEM. A type of mini-tensile specimens was used in three typical material orientations, RD (Rolling direction), 45 (45 degrees to rolling direction) and TD (transverse direction, 90 degrees to rolling direction). It is found that the plastic deformation occurred unevenly and limited in single grains, shown by micro extruding steps at grain boundaries. Further deformation concentrated at twinning bands and grain boundaries, more and finer twinning bands appeared as secondary twins on the original ones. In different orientations the dislocation slipping mechanism within twinning bands seems to play a role in different degrees. In RD specimens the slipping mechanism seems predominant, whereas in TD specimens the twinned steps were obvious. Micro cracks nucleated at internal interfaces: grain boundaries, interfaces of twinning bands, and intersections of twinning bands as well.