The effect of heat treatment on mechanical prosperities of Mg65Cu25Gd10 glass has been studied in this paper. The thermal stability and the structure of as-spun and heat treated Mg65Cu25Gd10 alloys were examined by differential scanning calorimetry (DSC) and X-ray diffractometry (XRD). The compression tests were performed using a computer controlled tensile test machine. Extended X-ray absorption fine structure (EXAFS) was applied to study the structural changes of Mg65Cu25Gd10 glass during annealing. Results showed that the decline of mechanical properties for Mg65Cu25Gd10 glass after annealing was closely related to the changes in local environment of Cu atoms and appearance of crystalline phases, and not the Gd local structure.