Friction stir welding (FSW) is well recognized as a very practical technology for joining magnesium alloys. Although, a large amount of progress have been made on the FSW of magnesium alloys, it should be emphasized that many challenges still remain in joining magnesium using FSW. In this article, we briefly review the background of friction stir welding of magnesium alloys, and then focus on the effects of the friction stir welding on the macrostructure, microstructure evolution, texture distribution, and the mechanical properties of the welding joints. The macro-defects in welds and their relationship to the welding parameters such as welding speed, rotation speed, and axial force were also discussed. The review concluded with some suggested methods improvement and future challenges related to FSW of magnesium alloys. The purpose of the present review paper is to fully understand the relationships between the microstructure and the properties, and then establish a global, state-of-the-art FSW of magnesium alloys.