In terms of lightweight electromagnetic interference (EMI) shielding structural materials, Mg matrix materials have proven to be the best, due to their exciting properties (e.g. low density, high specific strength, good electrical conductivity and excellent EMI shielding properties) and their wide range of applications in lightweighting in electronics, automotive and aerospace industries. Through processing, such as alloying, heat treatment, plastic deformation and composite processing, Mg matrix materials can be obtained with tailorable properties which can play a key role in designing materials for EMI shielding. This work introduces an overview of the research on the EMI shielding properties of Mg matrix materials as well as their EMI shielding mechanisms over the past few decades, focused on the influence of alloying, heat treatment, plastic deformation and composite processing for the EMI shielding properties of Mg matrix materials. At the end, conclusions and future perspectives are provided.