The unidirectional rolled Mg-Zn-Gd sheet usually exhibited non-basal texture with two peaks whose tilting angle were about 42° from normal direction to transverse direction (TD), which would cause the mechanical anisotropy. In this study, multi-cross rolling followed by annealing was used to tailor the texture and mechanical anisotropy for Mg-Zn-Gd alloy. With increasing annealing temperature, the rolled basal texture with two peaks gradually transformed into the circle texture with multi-peaks. In order to figure out different texture components evolution during annealing, the basal texture, R-texture and T-texture component were defined and studied. The results showed that the change of R-texture and T-texture component was asynchronous with increasing annealing temperature from 250 to 400 °C. The tilting angle of R-texture component increased slightly, while the tilting angle of T-texture component increased obviously, and this phenomenon was attributed to the preferential nucleation at grain nucleation stage rather than preferential grain growth. The yield strength along TD was more sensitive to annealing temperature compared with that along rolling direction (RD), resulting in different descending slopes and yield strength anisotropy with increasing annealing temperature. Annealing at 300 °C was the best annealing temperature due to low yield strength anisotropy, moderate strength and good elongation among these annealing temperatures. The Schmid factor for basal slip indicated that the activity of basal slip along RD increased slightly, while that along TD increased obviously with increasing annealing temperature from 250 to 400 °C, which should be caused by the asynchronous change of R-texture component and T-texture component, consequently resulting in the transformation from isotropic yield strength to anisotropic yield strength.