Understanding a magnesium alloy sheet's response to load reversals is important to accurately simulate and optimize a component's manufacturing process. Through this research, the room temperature compression-tension and tension-compression experiments with strains up to ∼12% are performed on AZ31B-H24 sheet specimens along the normal direction of a 6.35 mm-thick sheet. Miniature specimens machined through thickness are tested using a novel setup designed for large strain reverse loading data generation where specimen size is limited. The reliability of the devised setup is verified by finite element simulation and by reproducing in-plane curves obtained via an anti-buckling fixture. A shot peening process involving prevailing through-thickness deformation is modeled and numerical results indicate that employing only in-plane properties of magnesium sheets for simulating such processes can lead to inaccurate predictions.