The microstructural evolution in a nanostructured Al-Mg alloy fabricated by cryogenic mechanical alloying (cryomilling), was investigated using transmission electron microscopy (TEM). Nanostructured Al-Mg powders were first synthesized by a mechanical alloying under liquid nitrogen media (cryomilling), and the powders were subsequently degassed, hot isostatically pressed, and extruded into a full dense, bulk form. The results showed that Si containing phases and (Fe,Ni)Al intermetallics existed in as-extruded Al-Mg alloy. In addition, the extrusion temperature has a strong influence on the formation of microstructural anisotropy. A lower extrusion temperature yields a microstructure that is more anisotropic relative to that present at the higher extrusion temperature. More specifically, at the lower temperature, the nano-sized Al grains have a tendency to rotate towards the <111> direction, along the extrusion direction.