Magnesium alloy sheets have an increasing proportion of applications in automobiles due to their high specific strength. The usability of traditional welding processes and mechanical joining processes is restricted by the characteristic of magnesium alloy sheets. In order to improve the plasticity of magnesium alloy sheets and realize the reliable joining of magnesium alloy sheets with dissimilar sheets, researchers have conducted a lot of research. In this paper, the existing joining processes of friction stir spot welding, friction stir blind riveting, hybrid self-piercing riveting, and friction self-piercing riveting for magnesium alloy sheets are reviewed; the latest advances of joining process are introduced; and the principle, development, advantages, and shortcomings of each process for improving the plasticity of magnesium alloy sheets are systematically described. Several unaddressed issues in the joining of magnesium alloy sheets are identified. The hybrid of mechanical and solid-state joining processes will be a trend in future development.