To investigate the evolution of grain orientation and slip modes in magnesium alloys with multiple texture components, an AZ31 gradient-structured magnesium alloy sheet was fabricated using hard plate rolling (HPR). The changes in texture and slip modes under different reductions were examined. The results demonstrate that the AZ31 magnesium alloy sheets display a self-epitaxial gradient structure, with the best mechanical properties observed at rolling temperature of 673 K and reduction of 50%. Significant changes in texture type and strength are observed along the normal direction (ND) of the sheet. The coarse-grain region exhibits a bimodal texture aligned with the rolling direction. These texture variations enhance the stress distribution at the fine grain−coarse grain interface, influencing the grain orientation and the activation of different slip modes, thus improving the mechanical properties of gradient-structured magnesium alloy sheets. This approach offers a new strategy for the fabrication of high-performance magnesium alloy sheets.