Hydrogen storage is one key issue that needs to be handled for the realization of hydrogen society. Mg-based materials are thought to be promising candidates due to the advantages of low price, abundant resources and high theoretical hydrogenation capacity. However, the challenges in applications of Mg-based materials, especially for onboard ones, lie in both kinetics and thermodynamics. Many technologies have been adopted by researchers to overcome these issues. Here we will review the nano processing ones to synthesize Mg-based hydrogen storage nanomaterials and mainly focus on the methods of ball milling, thin film synthesis, catalyzed chemical solution synthesis, nanoconfinement and hydrogen plasma metal reaction. How the hydrogen storage properties are affected by the nanostructures is also addressed. Some future prospects in Mg-based hydrogen storage materials are discussed.