Boron is one of the highest energy density materials. The heat of boron is difficult to carry out due to its poor combustion performance. Magnesium (10 wt.%), acting as combustion adjuvant, is added into boron powder to improve the combustion performance. In this study, two kinds of boron powder were used as raw material, boron powder with an average size of 40 mm is named B1, and B2 has an average powder size of 3 mm. Mg/B composite powder was prepared though a cryomilling method. Two compound mechanisms for Mg/B composite powder were applied. For Mg/B1 composite powder, an Mg-coating structure on the surface of B was generated. For Mg/B2, a structure that small particles were agglomerated with Mg in the interior or on the surface of B was generated. Compared with either B powder or blended Mg/B powder, the reactivity of Mg/B composite powder by cryomilling is enhanced. In addition, the atomic ratio of Mg to B and activity content of Mg on the surface of Mg/B composite powder have great impacts on the improvement of reactivity.