Fatigue tests were conducted in laboratory air using both extruded and rolled Mg AZ31B materials. S/N curves were obtained, and the process of crack initiation behavior was also studied. It was found that the fatigue lifetimes of hot-rolled AZ31B were shorter than those of the same alloy in the extruded condition, a circumstance attributed to differences in yield strengths. In both the extruded and hot-rolled conditions of the alloy, fatigue cracks initiated from the intermetallic compounds and occurred early in life. Finite element analysis (FEA) was conducted to investigate the mechanism for the fatigue crack initiation behavior in both materials. Comparisons between the analytical and experimental results were also done to study the effect of microstructures on the fatigue crack initiation behavior in these materials.