In this study, the mechanical responses of the bonded interface method derived Mg58Cu28.5Gd11Ag2.5 bulk metallic glasses (BMG) under the micro-/nano-indentation are investigated. A modified expanding cavity model is developed to analyze the morphological observations of shear band by Vickers indentation. Results indicate that the radius ratio of any two adjacent shear band circles is approximately constant. The ratio of the shear band deformation zone to the contact radius induced by indentation is also a constant, which depends on the constraint factor (the ratio of hardness to yield strength) of the material. The features predicted by the present model are consistent with the results obtained from the indentation experiments, indicating the validity of the expanding cavity model for describing the mechanical behaviors of the BMG materials. The cross-sectional transmission electron microscopy (XTEM) observations reveal that the terraced shear bands are formed on the interface of the bonded Mg-based BMG. The microstructures for the Vickers indentation-induced terraced shear bands are also discussed.