To have a better understand on the change of microstructure via kinetics, the diffusion behavior of Mg alloys is of special interest to researchers. Meanwhile, diffusion coefficients of Mg based alloys can explain and represent their diffusion behavior well. The evolution of experimental and calculated methods for detecting and extracting diffusion coefficients was discussed briefly. The reasonable diffusion data, especially self-diffusion coefficients, impurity diffusion coefficients and inter-diffusion coefficients of Mg alloys, were reviewed in detail serving to design the Mg alloys with higher accuracy. Then the practical applications of diffusion coefficients of Mg alloys were summarized, including diffusional mobility establishing, precipitation simulation and mechanical properties prediction.