The invention provides a high electromagnetic shielding effectiveness magnesium alloy and a preparation method thereof. Components of the alloy comprise, by weight percentage, 1-5 wt.% of Zn, 1-5 wt.%of Sn, 0.1-0.5 wt.% of Ca, 0.1-0.5 wt.% of Ce and the balance Mg and inevitable impurities. By adding alloy elements (Mg, Zn, Sn, Ca and Ce) in the magnesium alloy to be matched to hot rolling and hot treatment, the high electromagnetic shielding effectiveness magnesium alloy is achieved. The method includes the specific process steps of smelting, homogenizing, hot rolling and solid solution aging. Adding of a small amount of calcium and cerium alloy elements, forming and precipitating of a second phase are promoted, and the conductivity and the shielding performance of the alloy are improved; meanwhile, due to precipitating of the high-density second phase, electromagnetic waves can also be effectively reflected; besides, in combination of refined crystal strengthening, precipitating strengthening and the like, the alloy has high strength while good electromagnetic shielding performance is achieved. Process equipment related to the high electromagnetic shielding effectiveness magnesium alloy and the preparation method thereof is universal equipment, cost is low, operation is easy, and industrial achievement is easy.