Samples were cut from an extruded AZ31 magnesium alloy bar for uniaxial tensile and EBSD characterization tests. The long axis and bar extrusion directions were 0° (T0 sample), 45° (T45 sample), and 90° (T90 sample). The effects of loading direction on the tensile behavior, microstructure, and texture evolution of the magnesium alloy were studied. Results show that the obvious mechanical anisotropy of tensile behavior is affected by the loading direction, and the T0 sample with a grain c-axis perpendicular to the extrusion direction has a strong basal texture and high flow stress and yield strength. The loading direction has a significant influence on the microstructure characteristics of different samples, especially the number of {10–12} tensile twins and {10–11} compression twins. Texture evolution results show that the loading direction and the effect of deformation mode on the deformation mechanism lead to variations in texture evolution: the basal slip and prismatic slip during the plastic deformation of the T0 specimen, the compression twin of the T45 specimen, and the tensile twin of the T90 specimen.