We investigate the leading order correction of anomalous magnetic moment (AMM) to the electron in weak magnetic field and find that the magnetic correction is negative and magnetic field dependent, indicating a magnetic catalysis effect for the electron gas. In the laboratory to measure the $g-2$, the magnitude of the magnetic field $B$ is several $\mathrm{T}$, correspondingly the magnetic correction to the AMM of electron/muon is around $10^{-34}$/$10^{-42}$, therefore the magnetic correction can be safely neglected in current measurement. However, when the magnitude of the magnetic field strength is comparable with the electron mass, the magnetic correction of electron's AMM will become considerable. This general magnetic correction to charged fermion's AMM can be extended to study QCD matter under strong magnetic field.