The Si–CeMg12 composites with 30wt.%, 40wt.% and 50wt.% Si, were synthesized by directly ball milling Si and CeMg12 alloy. The microstructure of the Si–CeMg12 composites is confirmed by X-ray diffraction (XRD) and transmission electron microscopy (TEM), respectively. It is demonstrated from TEM images that active Si nanoparticles are distributed in the inactive CeMg12 matrix. The electrochemical performance of the Si–CeMg12 composites as a function of Si content is investigated. The maximum reversible (charge) capacities of the ball-milled Si–CeMg12 composites with 30wt.%, 40wt.% and 50wt.% Si reach 470, 690 and 1080mAhg−1, respectively, after full activations. It is found that the Si–CeMg12 composite with 40wt.% Si delivers a larger reversible capacity and better cycle ability because the uniform distribution of active Si nanoparticles embedded in the CeMg12 matrix, which can accommodate the volume expansion of the composite during Li-alloying/dealloying processes. After subsequent cycles, the recrystallization of Si with lattice shrinkage is observed, which is unfavorable to the Li-alloying/dealloying reaction. The degeneration of CeMg12–Si composites during repeated cycling is attributed not only to the Si pulverization led by the volume change, but partially also to the irreversible phase transformation of Si.