Cold rolling is employed to improve mechanical properties of Mg–14Li–1Zn alloy. Microstructural evolution and mechanical properties are investigated. Results show that, as‐cast and as‐homogenized Mg–14Li–1Zn alloy is mainly composed of β phase with trace amount of tiny α phase particles. During tensile test, the discontinuous α phase leads to intergranular fracture, which is a main reason for the low strength and low elongation. After cold rolling, the distribution of α phase becomes much more dispersive. The tensile fractural morphology changes from brittle intergranular fracture to dimple fracture. The sheet with 70% thickness reduction possesses the ultimate tensile strength of 212 MPa, elongation of 9.4%, and microhardness of 60.12 HV. When the total rolling reduction is 90%, the tensile strength decreases slowly to 210 MPa, but the elongation increases sharply to 19.8%. Strengthening mechanisms of the Mg–14Li–1Zn alloy are attributed to strain hardening and grain refinement. Strain hardening plays an important role in the enhancement of strength. Grain refinement and the appropriate distribution of the α(Mg) can obviously improve the plasticity.