This paper studies the plastic behavior of the ZK61M magnesium alloy through a combination method of experiments and theoretical models. Based on a dog-bone specimen under different loading directions, mechanical tests under uniaxial tension were carried out, and the hardening behavior was characterized by the Swift–Voce hardening law. The von Mises yield function and the pressure-coupled Drucker yield function were used to predict the load–displacement curves of the ZK61M magnesium alloy under various conditions, respectively, where the material parameters were calibrated by using inverse engineering. The experimental results show that the hardening behavior of the ZK61M magnesium alloy has obvious anisotropy, but the effect of the stress state is more important on the strain hardening behavior of the alloy. Compared with the von Mises yield function, the pressure-coupled Drucker yield function is more accurate when characterizing the plastic behavior and strain hardening in different stress states of shear, uniaxial tension, and plane strain tension for the ZK61M alloy.