Magnesium alloy strips are widely used in aerospace, automotive industry, etc., which are difficult to produce through cold forming process due to their poor deformation ability. In this article, we studied whether the rolling process with heated roll could be used to roll cold magnesium alloy strips. Thermal-mechanical finite element simulation of the rolling process, using heated roll and cold strips to produce the magnesium alloy strips, was carried out. Influences of roll temperature, rolling velocity, rolling reduction ratio, and initial strip thickness on the thermal field and the mean temperature of magnesium alloy strips were analyzed. Both the heated area in strips in rolling deformation zone and the mean temperature of strips at exit of rolling deformation zone increase with increasing the roll temperature and/or rolling reduction ratio, and/or with decreasing the rolling velocity and/or initial strip thickness. Finally, a formula was developed to predict the mean temperature of strips under different rolling conditions, which also could be used to calculate the critical value of parameters in rolling process.