Abstract: Hydrogen is an ideal clean energy because of its high calorific value and abundance of sources. However, storing hydrogen in a compact, inexpensive, and safe manner is the main restriction on the extensive utilization of hydrogen energy. Magnesium (Mg)-based hydrogen storage material is considered a reliable solid hydrogen storage material with the advantages of high hydrogen storage capacity (7.6wt%), good performance, and low cost. However, the high thermodynamic stability and slow kinetics of Mg-based hydrogen storage materials have to be overcome. In this paper, we will review the recent advances in the nanoconfinement of Mg-related hydrogen storage materials by loading Mg particles on different supporting materials, including carbons, metal–organic frameworks, and other materials. Perspectives are also provided for designing high-performance Mg-based materials using nanoconfinement.