Annealing treatments at 200°C, 250 °C, 300°C, and 350°C were conducted on a twin-roll casted AZ31 sheet with an initial average grain size of 10.11 mm. Microstructure and mechanical behaviors were studied by optical microscope observation and tensile mechanical test. Expermeintal results show that grain size experienced three stage evolution during 180 min annealing at each temperature: recrystallization refinement, stabilization under dynamic balance of recrystallization and grain growth, and grain growth. The minimum average grain size of 5.96 μm was achieved after 120 min annealing at 200°C. The refined grain structure causes a decrease of ultimate tensile strength and an increase of elongation, and facilitates superplastic deformation of the material.