Mechanical milling and a gas-selective polymer were used to protect MgH2 from oxidation and improve its dehydrogenation properties. MgH2 and poly(methyl methacrylate) (PMMA) were simultaneously ball-milled for 5 and 20 h, respectively, to prepare an air-resistant nanostructured composite. The properties of the nanostructured composite were studied by XRD, SEM, and FTIR methods. The dehydrogenation performance of all samples was investigated by TGA analysis. The hydrogen desorption performance of ball-milled samples was also evaluated after exposure to air for 4 weeks. Results showed that MgH2 desorbed about 0.79 wt.% of hydrogen after heating up to 300 ˚C and holding for 15 min at this temperature. The ball-milling of MgH2 and PMMA for 5 and 20 h led to hydrogen desorption of 6.21 and 6.10 wt.% after heating up to 300 ˚C and holding for 15 min at this temperature, respectively, which proved the surface protection of MgH2 from oxidation by PMMA. After 4 weeks of exposing the ball-milled MgH2–PMMA samples to air, their hydrogen desorption percentage at the same condition changed to 5.80 and 5.72 wt.% for 5 and 20 h milled samples, respectively. A slight reduction in the dehydrogenation percentage of air-exposed samples proved that the air stability of MgH2 had been significantly enhanced by its confinement with PMMA.