The effects of pre-tension on the fatigue properties of a rolled Mg-3Al-1Zn (AZ31) alloy were investigated by imposing 2%, 5%, and 10% tensile strains along the rolling direction before low-cycle fatigue tests. The investigation showed that the applied pre-tension increased the dislocation density and introduced a small number of twins into the material. Although the as-rolled sample and all the pre-tensioned samples exhibited asymmetric hysteresis loops owing to the alternation of twinning and detwinning during each cycle, the tensile and compressive peak stresses increased with an increase in the amount of pre-tension during the first cycle. With an increase in the number of cycles, however, the flow stress, mean stress, plastic strain energy density, and hysteresis loop of the samples became similar irrespective of the amount of pre-tension, which is attributed to cyclic strain softening or hardening behavior depending on the initial dislocation density. Despite the relatively large pre-deformation, the pre-tensioned samples exhibited a fatigue life equivalent to that of the as-rolled sample because of an early extinction of the difference in the cyclic stress-strain response caused by pre-tension. This result demonstrates that the pre-tension process can improve the yield strength of rolled Mg alloys without a loss of their low-cycle fatigue resistance.