Light weight alloys are widely used in the automotive industry in order to meet environmental requirements. Cast magnesium alloys are candidate materials due to their high strength to weight ratio, high stiffness and excellent castability. However, some previously reported anomalous cyclic stress-strain behaviours of magnesium alloys have not been fully investigated especially in LCF characterisation. The main objective of this work was to investigate the cyclic loading-unloading behaviour of high pressure die cast (HPDC) AM60B and AE44 magnesium alloys under uniaxial tension or/and compression and its effect on LCF behaviour. It was found that classical linear stress-strain behaviour, for both AM60B and AE44 alloys, applied only to a very small range of stress beyond which significant pseudo-elastic behaviour was discovered. This affected LCF characterisation and subsequent fatigue analysis processes. It is revealed that the traditional Manson-Coffin and Ramberg-Osgood equations could not be used for magnesium alloys without considering the pseudo-elastic behaviour. It was also found that the 0.2% proof stress could be under-estimated significantly if the pseudo-elastic effect was neglected. The ISO 12106 (2003) standard for LCF data analysis breaks down when describing the LCF behaviour. A secant elastic modulus was introduced to describe the pseudo-elastic behaviour. The secant modulus decreased linearly with increasing applied stress amplitude. New parameters and equations for LCF characterisation and a new method for LCF analysis, including mean stress correction, are introduced for magnesium alloys.