In order to study the attenuation of shock waves induced by a high-power pulsed laser in magnesium alloy, an AZ31B magnesium alloy sample is processed with an Nd:Glass laser with a wavelength of 1054 nm and pulse width of 23 ns, and the relative pressures of the shock waves are measured on time by a polyvinglidene fluoride (PVDF) gauge with a short rise time and a wide linear response range, combined together with an oscilloscope. The law of attenuation of laser shock wave is obtained by measuring the intensity pressures on the rear surface of the target for different thicknesses through which the shock waves pass each time. The experimental results show that the average velocity of the shock wave attenuation in magnesium alloy is 5.83×103 m/s with using a laser pulsed energy of 5 J is in good agreement with the propagation velocity of stress longitudinal wave; the law of the shock wave attenuation is exponential. The experimental result can be very useful for the laser shock processing on magnesium alloy.