In this work, magnesium-based composites were obtained by shock-wave compaction of a powder mixture of Mg-5 wt.% AlN at a shock-wave pressure of 2 GPa. Their microstructure was investigated and the phase composition was determined, from which it follows that the nanoparticles retain their phase composition and are uniformly distributed in the magnesium matrix. The materials obtained by shock-wave compaction were used as master alloys for the production of magnesium alloys by die casting. The amount of aluminum nitride nanoparticles in the AZ91 magnesium alloy was 0.5 wt.%. Studies of the microstructure of the magnesium alloys showed a decrease in the average grain size of the magnesium matrix from 610 to 420 μm. Studies of mechanical properties have shown that the introduction of aluminum nitride nanoparticles increases the yield strength from 55 to 119 MPa, the tensile strength from 122 to 171 MPa and the plasticity from 4 to 6.5%, respectively. The effect of nanoparticles on the fracture behavior of the magnesium alloy under tension was determined.