In this research, we examined the rolling and processing of AZ31Mg alloy at 623 K and 723 K using various strain rates to fabricate an AZ31Mg alloy cross-slot screw. We successfully made one without any defects in appearance. The hardness of the thread of the new cross-slot screw is higher than that of the central part, and the grains of the thread are fine. The different characteristics of these two parts are attributed to the refinement of composition due to dynamic recrystallization induced during the hot rolling.