Herein, the high‐cycle fatigue behavior of the sand‐cast Mg–6Gd–3Y–0.5Zr (VW63Z) alloy is investigated. Deep cryogenic–elevated temperature cycling (DCETC) treatment is used to simulate the thermal cycling in space. The results indicate that the DCETC treatment can influence the high‐cycle fatigue performance of the sand‐cast VW63Z alloy. Especially, the fatigue strength of the VW63Z alloy in T6 state is improved to 140 MPa after three DCETC cycles. The changes in fatigue performance arise from the transformation of β′ phases in the DCETC treatment process. In addition, the formation and propagation of the fatigue crack during high‐cycle fatigue test are also studied systematically.