In the present study, deformation behavior upon two-step loading in a rolled AZ31 Mg alloy sheet was investigated. The experimental procedure was as follows: (1) a sheet was subjected to in-plane compression, (2) small samples were cut from the compressed sheet along various directions, and (3) uniaxial tension was imparted to small samples. The angle between the first and second loading directions was set to either 0, 30, 60, or 90. During the second loading, a strong in-plane anisotropy occurred in the stress-strain curve: a sigmoidal curve occurred during the second loading for the angles of 0 and 30, while it did not arise for the angles of 60 and 90. From microstructural observations, it was presumed that the aforementioned results could be explained in terms of the activity of detwinning.