As the lightest structural metal material, magnesium alloys possess good casting properties, high electrical and thermal conductivity, high electromagnetic shielding, and excellent damping properties. With the increasing demand for lightweight, high-strength, and high-damping structural materials in aviation, automobiles, rail transit, and other industries with serious vibration and noise, damping magnesium alloy materials are becoming one of the important development directions of magnesium alloys. A comprehensive review of the progress in this field is conducive to the development of damping magnesium alloys. This review not only looks back on the traditional damping magnesium alloys represented by Mg-Zr alloys, Mg-Cu-Mn alloys, etc. but also introduces the new damping magnesium materials, such as magnesium matrix composites and porous magnesium. But up to now, there have still been some problems in the research of damping magnesium materials. The effect of spiral dislocation on damping is still unknown and needs to be studied; the contradiction between damping performance and mechanical properties still lacks a good balance method. In the future, the introduction of more diversified damping regulating methods, such as adding other elements and reinforcements, optimizing the manufacturing method of damping magnesium alloy, etc., to solve these issues, will be the development trend of damping magnesium materials.