To prevent a premature failure, absorbable magnesium implants must possess an adequate mechanical stability. Among many ways to improve the mechanical properties of magnesium is by particle reinforcement, such as using carbon nanofiber (CNF). This work reports an experimental design for optimum materials and processing of CNF-reinforced Mg–Zn composites based on a two-level factorial design. Four factors were analyzed: percentage of CNF, compaction pressure, sintering temperature, and sintering time, for three recorded responses: elastic modulus, hardness, and weight loss. Based on the two-level factorial design, mechanical properties and degradation resistance of the composites reach its optimum at a composition of 2 wt % CNF, 400 MPa of compaction pressure, and 500 °C of sintering temperature. The analysis of variance reveals a significant effect of all variables (p < 0.0500) except for the sintering time (p > 0.0500). The elastic modulus and hardness reach their highest values at 4685 MPa and 60 Hv, respectively. The minimum and maximum weight loss after three days of immersion in PBS are recorded at 54% and 100%, respectively. This work concludes the percentage of CNF, compaction pressure, and sintering temperature as the main factors affecting the optimum elastic modulus, hardness, and degradation resistance of CNF-reinforced Mg–Zn composites.