Mg-based materials are considered to be the most machinable of all materials due to their good machinability. Though conventional machining of Mg-based materials is a topic that has been widely discussed, they are associated with ignition issues. Ignition risk in conventional machining of Mg-based materials thus cannot be denied and should be avoided. Literature has witnessed ignition risk when machining temperature reaches above 450°C during turning and milling processes, and some cases are reported with fire hazard. In order to obtain the safest machining atmosphere, abrasive water jet machining, a most desired machining technology for machining Mg-based materials, is discussed in the present chapter. The text covers ignition risk in conventional machining of Mg-based materials, an overview of non-traditional methods for machining Mg-based materials, advantages of abrasive water jet machining over other methods, abrasive water jet linear cutting of Mg alloys and composites, and drilling of Mg alloys. Experimental investigations are carried out to know the effect of abrasive water jet process parameters on machining Mg alloys and Mg nanocomposites. Surface topography of cut surfaces is analyzed. Suitability of abrasive water jet in drilling Mg alloys is justified by comparing results with holes drilled by conventional drilling and jig boring.