Magnesium hydride, despite the decomposition temperature being incompatible with the operating temperature of a typical PEM cell, is still considered a prospective material for hydrogen storage. Hence, this paper presents new aspects of the influence of milling time on the structural changes and temperature of MgH2 decomposition, with particular emphasis on the changes taking place in the first few seconds of the milling process. This paper presents qualitative and quantitative changes in the powder particle morphology determined using scanning electron microscopy (SEM) and infrared particle size analysis (IPS) systems. The crystallographic structure of the powders in the initial state and after mechanical milling was characterized by X-ray diffraction. The decomposition temperature and activation energy were determined by the differential scanning calorimetry (DSC). Changes in the activation energy and decomposition temperature were observed after only 1–2 min of the milling process. Two basic stages of the milling process were distinguished that impacted the MgH2 decomposition temperature, i.e., mechanical activation and a nanostructuring process. The activation was associated with the initial stage of particle size reduction and an increase in the fraction of fresh chemically active powder particle surfaces. On the other hand, the nanostructuring process was related to an additional decrease in the MgH2 decomposition temperature.