Magnesium‐alloy (Mg‐alloy) materials have attracted considerable attention recently due to their potential applications in electromagnetic interference (EMI) shielding. EMI shielding is a technique to prevent unwanted electromagnetic fields from interfering with the regular operation of electronic devices and systems. EMI shielding is essential for electronics, communication, computers, aerospace, and defence, where high performance and reliability are required. A material’s EMI shielding effectiveness (SE) depends on several factors: its conductivity, magnetic permeability, reflectivity, absorption, and multiple scattering. Mg‐alloys have several advantages over other conventional shielding materials, such as Al‐alloys. These alloys have a lower density, higher specific strength and stiffness, and a higher damping capacity. Mg‐alloys also have high conductivity and magnetic permeability, which can enhance the SE of the material. Moreover, through various methods, such as alloying, heat treatment, surface treatment, and composite fabrication, Mg alloys can be modified to improve their SE and other properties. This review summarizes the recent progress and challenges in developing Mg‐alloy materials for EMI shielding applications. We discuss the effects of different factors on Mg‐alloys’ SE, such as composition, microstructure, frequency, and thickness. Also, we discuss the importance of Mg‐Li alloys and why they are better electromagnetic shielding materials than conventional Mg alloys. Finally, we provide some perspectives and suggestions for future research directions.This article is protected by copyright. All rights reserved.