Nanoparticles have great potentials to improve the strength of metal matrix composites, but unfortunately, they tend to grow at high temperatures and are difficult to disperse uniformly with a high content, limiting the improvement in thermal stability and mechanical properties. Here we show the synthesis and performance of Mg-MgO in situ nanocomposites with a fraction of up to 40 vol% MgO nanoparticles. Our synthetic strategies include reactively cryomilling Mg with oxygen and subsequently consolidating the cryomilled powders under a high pressure of 6 GPa. Dispersed MgO nanoparticles with a fine particle size of 7.8 +/- 1.7 nm are mainly situated at grain boundaries and exhibit a strong interfacial bonding with Mg matrix. Because of the strong Zener pinning effect of in situ formed MgO nanoparticles, the thermal stability is largely enhanced from 100 A degrees C for nanocrystalline Mg to 400 A degrees C for Mg-10vol%MgO. The high thermal stability of Mg-MgO enables us to consolidate the cryomilled powders at a high temperature of 500 A degrees C under a pressure of 6 GPa and achieve bulk Mg-MgO nanocomposites with a high compressive yield strength: 562 and 688 MPa for Mg-10vol%MgO and Mg-20vol%MgO, respectively. Meanwhile, the room-temperature hardness of the Mg-MgO nanocomposites increases linearly with the content of MgO nanoparticles and reaches 3.65 GPa for Mg-40vol%MgO. Furthermore, the MgO nanoparticles significantly improve the high-temperature hardness of nanocrystalline Mg.