This study focused on the utilization of nano-MgO as an energy-saving and eco-friendly stabilizer to improve the engineering performance of loess. To this end, loess samples at various nano-MgO contents and curing times were prepared, and then standard compaction, consistency limits, and unconfined compression tests were performed. The achieved results demonstrated that adding nano-MgO increased the liquid limit, plastic limit, and optimum water content of loess, while it decreased the plastic index and maximum dry density. The unconfined compressive strength (UCS) presented an increasing trend with curing time and a “rise-fall” trend with the addition of nano-MgO. At the optimum nano-MgO content of 2%, about 72% UCS gain was to be expected with 28 days of curing. The variation of the deformation modulus was similar to that of UCS, and the strain at failure presented an opposite trend. Empirical models for these properties were formulated and validated by literature data. Finally, from NMR analyses, the improving mechanism was found to be nano-MgO induced water transformation from free water to bound water.