Since the first successful implementation of n-type doping, low-cost Mg3Sb2-xBix alloys have been rapidly developed as excellent thermoelectric materials in recent years. An average figure of merit zT above unity over the temperature range 300–700 K makes this new system become a promising alternative to the commercially used n-type Bi2Te3-xSex alloys for either refrigeration or low-grade heat power generation near room temperature. In this review, with the structure-property-application relationship as the mainline, we first discuss how the crystallographic, electronic, and phononic structures lay the foundation of the high thermoelectric performance. Then, optimization strategies, including the physical aspects of band engineering with Sb/Bi alloying and carrier scattering mechanism with grain boundary modification and the chemical aspects of Mg defects and aliovalent doping, are extensively reviewed. Mainstream directions targeting the improvement of zT near room temperature are outlined. Finally, device applications and related engineering issues are discussed. We hope this review could help to promote the understanding and future developments of low-cost Mg3Sb2-xBix alloys for practical thermoelectric applications.