The carbon nanotubes (CNTs), the as-prepared FeB nanoparticles and the CNTs decorated with FeB nanoparticles (denoted as FeB/CNTs) are introduced respectively into MgH2 system by wet milling with cyclohexane (CYH), and results show that wet milling with CYH and adding dopants (CNTs, FeB or FeB/CNTs) both improve the hydrogen storage properties of MgH2. The MgH2−10 wt% FeB/CNTs (CYH) composite shows the best properties. Its onset dehydrogenation temperature is 196 °C, which is 114 °C lower than that of the MgH2 (without CYH). Furthermore, the hydrogen desorption activation energy of MgH2−10 wt% FeB/CNTs (CYH) is reduced to 89.7 kJ/mol. The composite starts to absorb hydrogen at temperature as low as 39 °C, and can take up 6.2 wt% of H2 at 150 °C and 5 MPa H2 within 10 min. The hydrogen sorption cycling measurements indicate that the kinetics of the MgH2−10 wt% FeB/CNTs (CYH) composite keeps almost stable within 20 cycles, and the hydrogen storage capacity remains at 6.02 wt% (93% of the initial capacity) after 20 cycles. It is believed that the in-situ formed Fe and B as the active species and the good thermal conductivity of CNTs help enhance the hydrogen storage properties of the MgH2.