In this work, we propose a strategy to optimize electrochemical hydrogen loading in magnesium–palladium thin films, using 5 M KOH as an electrolyte. Mg thin films of thickness 26 nm were deposited on sapphire (0001) substrates and capped by a 32 nm Pd layer. By performing cyclic voltammetry with in situ optical microscopy, it appears that a loading potential of at least −1.2 V vs. Hg/HgO has to be achieved at the sample’s surface to trigger magnesium hydride formation. Loading potential effects are then further explored by hydrogenography, where different hydride formation mechanisms appear based on the actual potential. With a larger loading potential of −1.6 V vs. Hg/HgO, a magnesium hydride blocking layer is formed; in this case, Pd hydride temporarily forms in the capping layer as hydrogen diffuses towards the magnesium layer. Loading is optimized for a lower potential of −1.2 V vs. Hg/HgO, which leads to larger hydride precipitates and delays the blocking layer formation; in this case, Pd hydride only appears after the magnesium layer is completely hydrided.