Abstract: The basal texture of traditional magnesium alloy AZ31 is easy to form and exhibits poor plasticity at room temperature. To address these problems, a multi-micro-alloyed high-plasticity Mg–1.8Zn–0.8Gd–0.1Ca–0.2Mn (wt%) alloy was developed using the unique role of rare earth and Ca solute atoms. In addition, the influence of the annealing process on the grain size, second phase, texture, and mechanical properties of the warm-rolled sheet at room temperature was analyzed with the goal of developing high-plasticity magnesium alloy sheets and obtaining optimal thermal-mechanical treatment parameters. The results show that the annealing temperature has a significant effect on the microstructure and properties due to the low alloying content: there are small amounts of larger-sized block and long string phases along the rolling direction (RD), as well as several spherical and rodlike particle phases inside the grains. With increasing annealing temperature, the grain size decreases and then increases, and the morphology, number, and size of the second phase also change correspondingly. The particle phase within the grains vanishes at 450°C, and the grain size increases sharply. In the full recrystallization stage at 300–350°C, the optimum strength–plasticity comprehensive mechanical properties are presented, with yield strengths of 182.1 and 176.9 MPa, tensile strengths of 271.1 and 275.8 MPa in the RD and transverse direction (TD), and elongation values of 27.4% and 32.3%, respectively. Moreover, there are still some larger-sized phases in the alloy that influence its mechanical properties, which offers room for improvement.