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Metal magnesium (Mg) fuels have been widely used in rocket propellants. The combustion study on individual Mg microparticles is crucial to the in-depth unveiling of the combustion mechanism of Mg-based propellants. In this paper, a new experimental setup was proposed to directly observe the combustion of individual micron-sized Mg particles, based on laser ignition and microscopic high-speed cinematography. The combustion process of individual Mg microparticles could be directly and clearly observed by the apparatus at high temporal and spatial resolutions. Individual Mg microparticles took gas phase combustion, and mainly underwent four stages: expansion, melting, gasification, ignition, and combustion. The ignition delay time and total combustion time had an exponential decay on the particle diameter, and they had a linear decay on the ignition power density. The melting took a dominant role in the whole burnout time. The gas-phase combustion flame seemed thick, inhomogeneous, and ring-like structure. The combustion model of individual Mg microparticles was built through combining the experimental results with the SEM, XRD, XPS, and EDS analysis of original samples and combustion residues. This study will be beneficial to understand the combustion process and reveal the combustion mechanism of metal microparticles besides Mg.