In response to the increased emphasis on reducing carbon emissions, the demand for lightweight, high-performance structural materials is quickly increasing, and Mg alloys, because of their having the lowest density among the common engineering metals, have demonstrated considerable advantages and prospective applications in contemporary industry. High-pressure die casting (HPDC), owning to its high efficiency and low production cost, is the most extensively utilized technique in commercial Mg alloy applications. The high room-temperature strength–ductility of HPDC Mg alloys plays an important role in their safe use, particularly in the automotive and aerospace industries. With respect to HPDC Mg alloys, their mechanical properties highly rely on their microstructural characteristics, particularly the intermetallic phases, which are further dependent on the alloys’ chemical compositions. Therefore, the further alloying of traditional HPDC Mg alloys, such as Mg-Al, Mg-RE, and Mg-Zn-Al systems, is the most adopted method to further improve their mechanical properties. Different alloying elements lead to different intermetallic phases, morphologies, and crystal structures, which can have helpful or harmful effects on an alloy’s strength or ductility. The methods aimed at regulating and controlling the strength–ductility synergy of HPDC Mg alloys have to arise from an in-depth understanding of the relationship between the strength–ductility and the components of the intermetallic phases of various HPDC Mg alloys. This paper focuses on the microstructural characteristics, mainly the intermetallic phases (i.e., components and morphologies), of various HPDC Mg alloys with good strength–ductility synergy, aimed at providing insight into the design of high-performance HPDC Mg alloys.