Plastic forming in magnesium alloy sheet products is becoming a hot topic because of its potential in light-weight structural designs. Due to the special anisotropic and tension–compression asymmetrical properties of magnesium alloys, traditional modeling methods based on the von Mises yield criterion and using only uniaxial tensile properties for bending-dominated process simulations are not able to produce accurate predictions. In this study, two kinds of tensile tests (uniaxial and biaxial) and some compressive tests were performed along three material directions to obtain anisotropic and asymmetric properties, based on which the parameters of the Hill48 and Verma yield criteria were obtained. Then, the user subroutine VUMAT was developed, and the roll-forming process for magnesium alloys was simulated with the established anisotropic and asymmetric yield criteria. Finally, a roll-forming experiment on AZ31 magnesium alloy was performed. Compared with the experiments, it was found that roll-forming and springback predictions based on the Verma yield criterion had higher accuracy than those based on the von Mises and Hill48 yield criteria FEM models, which ignore anisotropy and asymmetry. This study provides an important FEM modeling idea that considers not only anisotropy but also asymmetry in the bending-dominated forming processes of magnesium alloys in which tension and compression exist simultaneously.