In situ Mg phase reinforced Mg70Cu17Dy13 bulk metallic glass (BMG) matrix composite with diameter of 3 mm was fabricated by conventional Cu-mold casting method. The results show that the Mg-based BMG matrix composite exhibits some work hardening except for initial elastic deformation, a high fracture compressive strength of 702 MPa, which is 1.125 times higher than single-phase Mg60Cu27Dy13 BMG and some plastic strain of 0.81%. The improvement of the mechanical properties is attributed to the fact that the Mg phase distributed in the amorphous matrix of the alloy has some effective load bearing and plastic deformation ability to restrict the expanding of shear bands and cracks and produce its own plastic deformation, which was proved by the shear deforming and fracturing mode and the fracture surfaces characterized by the vein pattern, severe remelting, and the very rough and bumpy region of the alloy.