In the last few decades, the development of new electrospun materials with different morphologies and advanced multifunctional properties are strongly consolidated. There are several reviews that describe the processing, use and characterization of electrospun nanocomposites, however, based on our knowledge, no review on electrospun nanocomposites reinforced with nanoparticles (NPs) based on magnesium, Mg-based NPs, are reported. Therefore, in the present review, we focus attention on the fabrication of these promising electrospun materials and their potential applications. Firstly, the electrospinning technique and its main processing window-parameters are described, as well as some post-processing methods used to obtain Mg-based materials. Then, the applications of Mg-based electrospun nanocomposites in different fields are pointed out, thus taking into account the current trend in developing inorganic-organic nanocomposites to gradually satisfy the challenges that the industry generates. Mg-based electrospun nanocomposites are becoming an attractive field of research for environmental remediation (waste-water cleaning and air filtration) as well as for novel technical textiles. However, the mayor application of Mg-based electrospun materials is in the biomedical field, as pointed out. Therefore, this review aims to clarify the tendency in using electrospinning technique and Mg-based nanoparticles to huge development at industrial level in the near future.