Novel AZ91D Mg alloy/fly-ash cenospheres (AZ91D/FAC) composites were fabricated by melt stir technique. The thermodynamic analyses of the interfacial reactions, the microstructure observation, and the phase analyses of the AZ91D/FAC composites were investigated. The results showed that the cenospheres were almost filled with Mg alloy matrix. In-situ MgO and Mg2Si phases were formed in Mg alloy matrix and near the interfaces between the cenospheres and Mg alloy matrix. Through the thermodynamic calculation, it can be found that the standard free enthalpy changes of these interfacial reactions are all negative at the temperature of Mg alloy melt preparation in this work, and these reactions can occur.