Growing environmental demands and higher fuel efficiency encourage the use of new light-weight load-bearing materials even for operation under rougher environmental conditions. Consequently, as the materials used in the vital load-bearing components of the chassis, brake system or exhaust system are subjected to thermomechanical fatigue during the operation due to variable mechanical and thermal loads, it is crucial for design engineers and CAE analysts to understand the cyclic behaviour of new materials under such conditions. Here we have analysed the stress–strain behaviour of magnesium alloy AZ31 and the influence of variable thermomechanical loads. A uniaxially loaded flat specimen has been first mechanically loaded at −25°C. The temperature was then increased to 150°C whilst the variable mechanical loading remained unchanged. The tests have been strain-controlled using a video extensometer. The stress–strain behaviour of the magnesium alloy AZ31 has been then investigated considering both variable temperature and variable mechanical load.