This paper reviews the following for magnesium (Mg) alloys: (a) fundamentals of oxidation and burning; (b) influence of alloying on oxidation; (c) theoretical models for improved oxidation resistance through alloying with calcium (Ca), beryllium (Be), strontium (Sr) and rare earth elements; (d) recent research on the improved oxidation resistance of beryllium-containing magnesium alloys; and (e) the recent proposed oxide reinforcement model. The oxidation resistance of magnesium alloys is closely related to the protective incubation period, which is mainly controlled by the crack resistance of the initially formed surface oxide layer. Cracking of the initially formed surface oxide facilitates the vapor phase diffusion of magnesium and results in catastrophic oxidation and eventual burning of magnesium. According to the oxide reinforcement model, an oxide layer with increased mechanical strength and hardness (such as the (Mg,Be)O layer on beryllium-containing alloys) can better withstand the internal tensile stress arising during the oxidation process and therefore can delay oxide layer cracking and extend the oxidation incubation period. This model provides guidance on developing new oxidation-resistant magnesium alloys.