Mg hybrid batteries mainly contain Mg-Li hybrid batteries (MLHBs) and Mg-Na hybrid batteries (MNHBs). They can combine the advantages of high capacitance/high voltage cathodes of Li+/Na+ ion batteries, fast ions intercalation/deintercalation into cathodes and high capacity and dendrite-free Mg metal anode. Thus, these two Mg hybrid batteries have gained more and more attention in the past ten years. In this review paper, we first summarize the structure characteristics and energy storage mechanisms (Daniel type, co-intercalation and rocking-chair type) of Mg hybrid batteries. Then, we respectively review the research progress of MLHBs and MNHBs according to the energy storage mechanisms. Finally, the existing technical obstacles and the development perspectives of MLHBs and MNHBs technology are put forward to build better MLHBs and MNHBs. This review is helpful to design and construction of Mg hybrid batteries with high energy density, high power density and excellent cycle stability, and will lay a foundation for the industrial application of Mg hybrid batteries.