The research and development of ultra-high strength and toughness magnesium alloys is of great significance to promote the application of magnesium alloys in high-tech industries. Magnesium and rare earth are the advantageous resources in China. The development of magnesium-rare earth (Mg-RE) alloys with ultra-high strength and toughness has unique advantages in China. Among them, Mg-Gd-Y-Zn-Zr wrought magnesium alloys can obtain ultra-high strength and ductility close to high-strength aluminum alloys, which have received great attention in recent years. In this paper, the effects of alloy composition, conventional plastic deformation processes, novel severe plastic deformation processes and heat treatment processes on the microstructure and mechanical properties of ultra-high strength and toughness Mg-Gd-Y-Zn-Zr wrought magnesium alloys are reviewed. The microstructure features, strengthening and toughening mechanisms of the Mg-Gd-Y-Zn-Zr wrought magnesium alloys with ultra-high strength and toughness are also discussed. The T5 peak-aging treated Mg-8-2Gd-3-8Y-1Zn-0-4Zr (mass fraction) extrusion alloy with ultra-high strength and toughness exhibits a “soft-hard” composite layered microstructure with bimodal grain sizes, and a near-continuous networks formed by precipitation of dense nanoscale basal and prismatic precipitates. The Mg-8-2Gd-3-8Y-1Zn-0-4Zr extrusion alloy obtains a tensile yield strength of 466 MPa, ultimate tensile strength of 514 MPa and elongation to failure of 145%. This paper also introduces the research progress of Harbin Institute of Technology and other groups in the largescale fabrication and application of ultrahigh strength and toughness Mg-Gd-Y-Zn-Zr wrought magnesium alloys, and the research trends on Mg-Gd-Y-Zn-Zr wrought alloys with ultra-high strength and toughness are also prospected.