Today, substantial attention is given to biomaterial strategies for bone regeneration, and among them, there is a growing interest in using immunomodulatory biomaterials. The ability of a biomaterial to induce neo vascularization and macrophage polarization is a major factor in defining its success. Magnesium (Mg)-based degradable alloys have attracted significant attention for bone regeneration owing to their biodegradability and potential for avoiding secondary removal surgeries. However, there is insufficient evidence in the literature regarding the early inflammatory responses to these alloys in vivo. In this study, we investigated the early body responses to Mg-0.45wt%Zn-0.45wt%Ca pin-shaped alloy (known as ZX00 alloy) in rat femora 2, 5, and 10 days after implantation. We used 3D micro computed tomography (µCT), histological, immunohistochemical, histomorphometrical, and small angle X-ray scattering (SAXS) analyses to study new bone formation, early macrophage polarization, neo vascularization, and bone quality at the implant bone interface. The expression of macrophage type 2 biological markers increased significantly after 10 days of Mg alloy implantation, indicating its potential in stimulating macrophage polarization. Our biomineralization results using µCT as well as histological stained sections did not indicate any statistically significant differences between different time points for both groups. The activity of alkaline phosphatase (ALP) and Runt-related transcription factor 2 (Runx 2) biological markers decreased significantly for Mg group, indicating less osteoblast activity. Generally, our results supported the potential of ZX00 alloy to enhance the expression of macrophage polarization in vivo; however, we could not observe any statistically significant changes regarding biomineralization.