This study examined the comprehensive properties of Mg-Zn-Nd-Zr alloys in order to achieve both high strength and thermal conductivity simultaneously. The impact of rolling on the microstructure, mechanical properties, and thermal conductivity was analyzed for Mg-5Zn-xNd-0.4Zr alloys (x = 1, 2). The results indicate that the addition of Nd promotes the formation of the W phase (Mg₃Zn₃RE₂), which contributes to grain boundary strengthening and enhances the overall strength. Moreover, dynamic precipitation during the rolling process leads to the formation of nanoscale MgZn₂ and Zn₂Zr phases, significantly improving both the strength and thermal conductivity. After rolling, both the Mg-5Zn-1Nd-0.4Zr (ZNK510) and Mg-5Zn-2Nd-0.4Zr (ZNK520) alloys exhibited a notable enhancement in thermal conductivity, with ZNK520 demonstrating superior properties due to its higher Nd content. This study highlights that optimizing alloy composition and phase evolution through rolling can markedly enhance both the mechanical and thermal properties, offering a promising strategy for the development of high-performance magnesium alloys.