Magnesium hydride (MgH2) has been recognized as a promising anode material of lithium‐ion batteries (LIBs) owing to its ultrahigh specific capacity. The low conductivity and the structural pulverization induced by large volume expansion, however, has long limited its practical lithium storage performance. Herein, a series of yolk‐shell‐like structures, composed of porous MgH2 nanoparticles (NPs) decorated with Mg‐based composites through in‐situ solid‐gas reaction using MgH2 as both the reactant and the structural template, have been fabricated and uniformly dispersed on electronically conductive graphene. It could not only physically accommodate the volume change of MgH2 owing to the physical protection of Mg‐based composites and the formation of void space inside MgH2 NPs, but also effectively facilitate the transportation of electrons throughout the whole electrode. Particularly, the uniform decoration of ultrathin Mg(BH4)2 as the shell with thermodynamically favorable intercalation of lithium ions and low kinetic barrier for the lithium‐ion diffusion promotes facile transportation of lithium ions into active MgH2, which, coupled with the porous structure constructed by flexible graphene, effectively improves the ion conductivity of the electrode. The synergistic improvement in electronic and ionic conductivity leads to a high reversible capacity of 1651 mAh g−1 at 200 mA g−1 after 380 cycles.