Water electrolysis in alkaline media for hydrogen production is regarded as one of the most effective approaches to address the energy crisis and environmental pollution associated with fossil fuels, and the development of non-noble metal catalysts with low cost and high activity is one of the key factors for realizing its industrial large-scale application. Ni is a promising candidate for the electrocatalytic hydrogen evolution reaction, due to its high intrinsic catalytic activity and stability, and good corrosion resistance. However, the overall hydrogen evolution rate on pure Ni is limited by the hydrogen desorption step. Alloying Ni with another metal to transform the electronic structure, is an effective strategy to enhance its electrocatalytic activity. Herein, Mg is proposed as the alloy element for Ni to form Mg-Ni catalyst. In this work, using nickel foam (NF) as the substrate material, Mg-Ni alloy films were in?situ grown on NF via potentiostatic electrolysis in molten NaCl-KCl-MgCl2, and self-supporting Mg-Ni/NF electrodes were successfully fabricated, which can be directly used for catalytic hydrogen evolution. The phase structure, surface morphology, element distribution, and chemical state of the alloy on NF were analyzed by X-ray diffraction (XRD), electron microscopy-energy dispersive spectroscopy (SEM-EDS), and X-ray photoelectron spectroscopy (XPS). The electrocatalytic activity and stability of the as-fabricated electrode were then examined in 1.0 mol/L KOH solution. The Mg-Ni/NF-8 h electrode was highly effective for hydrogen evolution reaction with a low overpotential of only 49.5 mV to deliver a current density of 10 mA/cm2 and a small Tafel slope of 36.0 mV/dec, exceeding the noble Pt catalyst. The electrode maintained a long-term stable electrolysis of 106 h at a high current density of 100 mA/cm2. The phase composition, microstructure, and surface characteristics of the electrode were unchanged after long-term electrolysis, indicating superior electrochemical stability with no obvious activity decay. The Mg2Ni/MgNi2 heterostructure, huge specific surface area originating from nanosheets, and stable self-supported structure were the main reasons for the electrode to achieve excellent electrochemical activity and stability. This work offers new insights into the designing of efficient and stable non-precious metal hydrogen evolution materials, expanding the application of magnesium in the field of catalysis.