Abstract: Novel hydrogen storage materials have propelled progress in hydrogen storage technologies. Magnesium hydride (MgH₂) is a highly promising candidate. Nevertheless, several drawbacks, including the need for elevated thermal conditions, sluggish dehydrogenation kinetics, and high thermodynamic stability, limit its practical application. One effective method of addressing these challenges is catalyst doping, which effectively boosts the hydrogen storage capability of Mg-based materials. Herein, we review recent advancements in catalyst-doped MgH₂ composites, with particular focus on multicomponent and high-entropy catalysts. Structure–property relationships and catalytic mechanisms in these doping strategies are also summarized. Finally, based on existing challenges, we discuss future research directions for the development of Mg-based hydrogen storage systems.