After surface mechanical attrition treatment (SMAT) for Al-Zn-Mg alloy, a gradient structure with average grain size increased from 20nm in surface layer to about 100nm at a depth of 20μm was formed. The thermal stability of surface nanostructured layer in Al-Zn-Mg alloy samples was investigated by vacuum annealing at 100°C, 150°C, 200°C and 250°C for 1h, respectively. The microstructural evolution as well as the microhardness along the depth from top surface layer to matrix of SMATed samples was analyzed. Experimental results showed that the grain size of surface nanocrystallites remains in submicro-scale, ranging from 300nm to 400nm, when annealed at a temperature of 250°C, and the microhardness of surface nanostructured layer was still high compared with that of matrix, indicating satisfying thermal stability of nanocrystallized layer. This might be attributed to the presence of substantive trident grain boundaries and pinning effect of dispersive precipitated phases in nanocrystalline materials, which hindered the grain boundary migration that leading to grain growth.