Compared with other forming processes, Pilger cold rolling exhibits unique process characteristics and a simple production method, making it highly advantageous in terms of high-precision, high-strength, and poor-plasticity alloys. Among them, the design parameters of the rolling mill play a significant role in the rolling results, with the key design parameters being the hole opening angle θ and the hole gap ΔK. In this study, a numerical simulation model for cold rolling an AZ31B magnesium alloy with variable cross-section three-roll Pilger cold rolling was established, and finite element simulation analysis was employed to obtain the comprehensive performance impact law of key design parameters on the cold-rolled AZ31B magnesium alloy. It can be concluded that when the hole opening angle is 10° and the hole gap is 1.2 mm, the equivalent stress and equivalent plastic strain of the billet reach a minimum, and the surface precision is excellent.