Magnesium, titanium and zirconium and their alloys are extensively used in industrial and military applications where they would be subjected to extreme environments of high stress and strain-rate loading. Their hexagonal close-packed (HCP) crystal lattice structures present interesting challenges for optimizing their mechanical response under such loading conditions. In this paper, we review how these materials respond to shock loading via plate-impact experiments. We also discuss the relationship between a heterogeneous and anisotropic microstructure, typical of HCP materials, and the directional dependency of the elastic limit and, in some cases, the strength prior to failure.