Herein, evolution of the grain refinement mechanism, interface behavior, and mechanical properties of Mg–14Li–3Al–2Gd sheets prepared by multilayer accumulative roll bonding (MARB) is investigated. The grain refinement mechanism mainly consists of continuous dynamic recrystallization (CDRX) caused by violent dislocation movement under restrictive conditions and high‐energy interfaces. The bonding mechanism changes from pressure bonding and metallurgical bonding to dynamic recrystallization bonding with increase in the MARB cycle. A new process, two‐step rolling in one MARB cycle, sufficiently improves the bonding of new interfaces introduced in the previous cycle. With the increase in MARB cycles, the strength and hardness of the Mg–14Li–3Al–2Gd sheets are enhanced. Fine grain strengthening, strain hardening, and dispersion strengthening are the strengthening mechanisms. In the first stage, fine grain strengthening dominates. In the later period, the strengthening effect is governed by strain hardening. At the same time, the interface bonding performance is the basis for the strengthening effect.