Carbon fiber reinforced magnesium composite (Cf/Mg composite) was fabricated by liquid-solid extrusion following vacuum pressure infiltration (LSEVI) technique. Monotonic loading and stepwise loading tensile test were carried out to analyze the mechanical properties. Fracture morphology and SEM micrographs were examined to understand the damage mechanism and progressive failure of Cf/Mg composite. The results showed that the tensile properties of Cf/Mg composite were very different from those of the matrix and plastic deformation hardly occurred during the tensile test. Moreover, stepwise incremental loading had no influence on the ultimate tensile strength (UTS) of Cf/Mg composite, but had significant effects on the elasticity modulus (E) and elongation (δ). The increase in tensile load resulted in irreversible destruction such as generation and propagation of the cracks. However, when the subsequent load was higher than the previous maximum load, new damage would be created in the composite.