Mg-based hydrogen storage materials are considered to be one of the most promising solid-state hydrogen storage materials due to their large hydrogen storage capacity and low cost. However, slow hydrogen absorption/desorption rate and excessive hydrogen absorption/desorption temperature limit the application of Mg-based hydrogen storage materials. The present paper reviews the advances in the research of Mg-based hydrogen storage film in recent years, including the advantage of the film, the function theory of fabricating method and its functional theory, and the influencing factors in the technological process. The research status worldwide is introduced in detail. By comparing pure Mg, Pd-caped Mg, non-palladium capped Mg, and Mg alloy hydrogen storage films, an ideal tendency for producing Mg-based film is pointed out, for example, looking for a cheap metal element to replace the high-priced Pd, compositing Mg film with other hydrogen storage alloy of catalytic elements, and so on.