Herein, an Mg–6Zn–2Ce–0.6Zr alloy was prepared via the extrusion–shear process. The dynamic compression mechanical performance and mechanism of microstructural evolution of the alloy in a strain rate range from 500 to 2500 s −1 were investigated. The dynamic compression performance of the alloy increased with the strain rate. The electron backscatter diffraction analyses revealed that the angle between the c-axis and the extrusion direction of most grains changed from 90° to 180° after dynamic compression. The deformation can be attributed to the extension twining, basal slip, and prismatic slip. The dynamic deformation mechanism was studied and the fracture mechanism under a high strain rate was determined by analysing the temperature rise and absorbed energy density.