Magnesium-based thermoelectric (TE) materials have attracted considerable interest due to their high ZT values, coupled with their low cost, widespread availability, nontoxicity, and low density. In this review, we provide a succinct overview of the advances and strategies pertaining to the development of Mg-based materials aimed at enhancing their performance. Following this, we delve into the major challenges posed by the severe working conditions, such as high temperature and thermal cycling, which adversely impact the behavior and long-term stability of the TE modules. Challenges include issues like the lack of mechanical strength, chemical instability, and unreliable contact. Subsequently, we focus on the key methodologies aimed at addressing these challenges to facilitate the broader application of the TE modules. These include boosting the mechanical strength, especially the toughness, through grain refining and additions of second phases. Furthermore, strategies targeted at enhancing the chemical stability through coatings and modifying the microstructure, as well as improving the contact design and materials, are discussed. In the end, we highlight the perspectives for boosting the practical applications of Mg-based TE materials in the future.