Blank holder force (BHF) plays an important role in sheet metal forming. Previous studies demonstrated that variable blank holder forces can improve the cold formability of steel blank, but the research on the application of variable blank holder force in warm forming of magnesium sheet forming has not been well investigated. In this study, the mechanical property of AZ31 magnesium alloy sheet is measured through some uniaxial tensile tests. In order to obtain the variational rule of the BHF, a mathematical model of BHF is deduced based on the energy theory. The variational rule of the BHF over the punch stroke is analyzed. Finally, three profiles of the BHF curve are designed, and the numerical simulation of warm deep drawing process of magnesium alloy sheet is also performed. A suitable variable blank holder force scheme is obtained through comparison among three results of simulation. The simulation indicates that the limiting drawing ratio of AZ31 magnesium alloy sheet can be improved from 3.0 to 3.5 with the suitable blank holder force varied by an inverted V curve.