Typical specimens of AZ31B Magnesium alloy were processed by single point and continuous laser shock peening (LSP). The selected laser energy was 25 J, spot diameter was 8 mm, peening spacing was 8 mm and peening times were 2. The obtained value of residual compressive stresses were -144.3 MPa and -230 MPa for single and continuous LSP respectively, and the magnitude of residual stress was in direct proportion to the depth of deformation in definite micro-deformation range. The average surface micro-hardness in the laser spot zone was 92.42 HV, which increased by 26% as compared to 73.2 HV of substrate, the depth of hardened layer was about 0.3 mm, and the maximum micro-hardness was about 109.86 HV beneath surface of 0.05~0.075 mm. Large amount of crystal chunks appeared at the crystal grain boundaries and inside the grains, and the average grain size decreased from the untreated 7 μm to the peened 4 μm. The results show that the nucleation of fatigue crack can be retarded and the mechanical properties of AZ31B magnesium alloy sheet can be improved greatly with LSP process.