To improve the chloride diffusion resistance and durability of concrete, a new kind of steel fiber reinforced MgO concrete (SFRMC) was made by adding steel fiber and MgO to concrete simultaneously. With steel fiber for load bearing and expansion limiting, MgO as the expander, SFRMC has both the advantages of fiber reinforced concrete and expansion concrete. The influence of steel fiber and MgO on the strength and chloride diffusion resistance of concrete was evaluated by splitting tensile test and chloride diffusion test. Mercury intrusion porosimeter (MIP) and scanning electron microscopy (SEM) were used to study the microstructure of SFRMC. The results showed that the combined action of steel fiber and MgO reduced the porosity of concrete and the chloride diffusion coefficient (CDC), which could not be achieved by steel fiber and MgO separately. In the free state, the expansion energy produced by the hydration of MgO made the concrete expand outwards. However, under the constraint of steel fiber, the expansion energy was used to tension the fiber, resulting in self-stress. In this way, compared to reference concrete RC, the tensile strength of SFRMC-1, SFRMC-2, and SFRMC-3 increased by 3.1%, 61.3%, and 64.5%, CDC decreased by 8.8%, 36.7%, and 33.1%, and the porosity decreased by 6.2%, 18.4%, and 20.6%, respectively. In addition, the SEM observations demonstrated that the interfacial transition zone (ITZ) between fiber and matrix was denser in SFRMC, which contributed to reduce the diffusion of chloride ions in the concrete.