Abstract: With the increasing attention received by lightweight metals, numerous essential fields have increased requirements for magnesium (Mg) alloys with good room-temperature and high-temperature mechanical properties. However, the high-temperature mechanical properties of commonly used commercial Mg alloys, such as AZ91D, deteriorate considerably with increasing temperatures. Over the past several decades, extensive efforts have been devoted to developing heat-resistant Mg alloys. These approaches either inhibit the generation of thermally unstable phases or promote the formation of thermally stable precipitates/phases in matrices through solid solution or precipitation strengthening. In this review, numerous studies are systematically introduced and discussed. Different alloy systems, including those based on Mg–Al, Mg–Zn, and Mg–rare earth, are carefully classified and compared to reveal their mechanical properties and strengthening mechanisms. The emphasis, limitations, and future prospects of these heat-resistant Mg alloys are also pointed out and discussed to develop heat-resistant Mg alloys and broaden their potential application areas in the future.