Cold-drawn AZ31 Mg alloy wires with a wide range of strains up to ~1.2 were prepared by multi-pass cold drawing to investigate the influence of cold strain on microstructural evolution. With the drawing, plastic deformation was initially dominated by twinning, particularly {10–10} twinning, but gradually becoming by slips especially after twinning was exhausted at large strains>1. More importantly, pronounced refined crystallites with diameter ~100nm were achieved through profuse intersections across twin bundles starting from strains larger than ~0.6, and contributed to the weakening of {0002} fiber texture. This refinement could be interpreted as twin fragmentation related to dynamic recovery; and to some extent it implied a possibility of fabrication of ultrafine-grained structure by cold severe plastic deformation for magnesium alloys.