Mg-based composites are fabricated through mechanical alloying (MA) in the planetary mill, using amorphous Mg65Cu25-xY10Agx (x=0, 5, 10) matrix alloy prepared by melt spun and 1-5 vol.% spherical nano-sized ZrO2 particles. The melt spun amorphous matrix ribbons are ground into powders and mixed with the ZrO2 nano particles in the planetary mill, after then formed by hot pressing in Ar atmosphere under different pressures at the temperature 5 K above the glass transition temperature (Tg). The microstructure characterizations of the resulting specimens are conducted by means of XRD, FEG-SEM, and TEM techniques. It is found that the nano-sized ZrO2 dispersed Mg-based composite alloy powders can reach to a homogeneous size distribution (about 80 nm) after 50 h mechanical alloying. After hot pressing of these composite alloy powders under the pressure of 1100 MPa at 409 K, a 96% dense bulk specimen can be formed. Throughout the MA and hot pressing, the amorphous nature of the Mg65Cu25-xY10Agx matrix is maintained. The hardness of the formed bulk Mg-based composites (with 5 vol% nano-sized ZrO2 particles) can reach to 360 in Hv scale. In addition, the microstructure near the interface between the matrix and nano particles presents a well-bonded condition.