Wheat fertilized with Mg, regardless of the method of application, increases nitrogen fertilizer (Nf) efficiency. This hypothesis was tested in 2013, 2014, and 2015. A two-factorial experiment with three doses of Mg (i.e., 0, 25, and 50 kg ha−1) and two stages of Mg foliar fertilization (without; BBCH 30; 49/50; 30 + 49/50) was carried out. Foliar vs. in-soil Mg fertilization resulted in a comparable grain yield increase (0.5–0.6 t ha−1). The interaction of both fertilization systems increased the yield by 0.85–0.9 t ha−1. The booting/heading phase was optimal for foliar fertilization. Mg accumulation by wheat fertilized with Mg increased by 17% compared to the NPK plot. The recovery of foliar Mg was multiple in relation to its dose. The recovery of the in-soil Mg applied ranged from 10 to 40%. The increase in yield resulted from the effective use of N taken up by wheat. In 2014 and 2015, this amount was 21–25 kg N ha−1. The increase in yield resulted from the extended transfer of N from vegetative wheat parts to grain. Mg applied to wheat, irrespective of the method, increased the efficiency of the N taken up by the crop. Mg fertilization resulted in higher Nf productivity, as indicated by the increased nitrogen apparent efficiency indices.