Bulk Mg-based hydrogen storage materials have the potential to provide a low-cost solution to diversify energy storage and transportation. Compared to nano powders which require handling and processing under hydrogen or an inert gas atmosphere, bulk Mg-based alloys are safer and are more oxidation resistant. Conventional methods and existing infrastructures can be used to process and handle these materials. However, bulk Mg alloys have smaller specific surface areas, resulting in slower hydrogen sorption kinetics, higher equilibrium temperatures, and enthalpies of hydride formation. This work reviews the effects of the additions of a list of alloying elements and the use of innovative processing methods, e.g., rapid solidification and severe plastic deformation processes, to overcome these drawbacks. The challenges, advantages, and weaknesses of each method and future perspectives for the development of Mg-based hydrogen storage materials are discussed.