In this paper, a viable way to fabricate Mg alloy sound ribbons with ultra-fine-grained microstructure was presented. The hot-rolled and annealed Mg-0.4Zn (at%) alloy exhibited excellent rollability to form sound ribbons with submicrometer grains when subjected to one-pass cold rolling process. The more balanced multi-mode dislocation slips originated from the significant decrease of critical resolved shear stress for non-basal slip with the addition of solute Zn and the favorable crystallographic orientation were suggested to be responsible for the excellent cold rollability. The formation of ultra-fine-grained microstructure was attributed to low-temperature dynamic recrystallization occurring during the cold rolling process with large strain.