Magnesium, element no. 12 on the periodic table, is the second member of the alkaline-earth metal family. Often, Mg is considered as an electropositive metal like its heavier congeners, Ca, Sr, and Ba. In this review, another important aspect of Mg chemistry, namely, the ability to form covalent bonds to more electronegative elements, is considered with a focus on pnictides. Magnesium’s flexible coordination numbers and bond distances are similar to those of main group elements (Al) or late- and post-transition metals (Mn, Cu, Zn, Cd). In this work, selected Mg-pnictides are discussed to emphasize the chemical and structural diversity of Mg which results in a variety of physical properties. Thermoelectric, Mg-ion battery, and nonlinear optical applications of select Mg-containing compounds are summarized, providing examples on the exploitation of Mg chemical bonding flexibility for the design of novel functional materials.