The influence of loading direction on cyclic deformation behavior of rolled AZ31 magnesium alloy (average grain size: approximately 40μm) was investigated. Cyclic tensile and compressive loading-unloading tests were carried out using cylindrical smooth specimens. Pseudoelastic behaviors were observed in tensile and compressive loading-unloading tests. The large anelastic strains and work hardening coefficient were observed in compressive stress-strain hysteresis loops of the S specimen.