The thermal decomposition steps of Mg(BH₄)₂ were investigated under He flow and various hydrogen pressures up to 50 bar. In a He flow, the main decomposition of Mg(BH₄)₂ occurs between 250 and 410 °C until 12.2 mass% is lost, with three main peaks of hydrogen desorption. In the first decomposition step the crystalline phase of Mg(BH₄)₂ disappears while a small amount of Mg is detected in the XRD profile. However, the major part of the sample is in an amorphous state. After the second step, crystalline MgH₂ is observed together with the Mg phase. The third step of hydrogen desorption corresponds to the decomposition of MgH₂ and Mg remains the only crystalline phase observed by XRD measurement after heating to 410 °C. Further hydrogen evolution of 1.4 mass% is observed from 410 °C to 580 °C. Only after this hydrogen desorption, MgB₂ appears in the XRD spectra of the sample. These results indicate that amorphous, hydrogen containing boron compounds take part as intermediates in the reaction. Under hydrogen pressure, the decomposition events of Mg(BH₄)₂ shift to higher temperatures in the DSC (differential scanning calorimetry) profiles: while there is only a small shift for steps 1 and 2 there is a clear separation of the succeeding reactions under a background pressure of hydrogen. These data show that the decomposition proceeds via several well defined steps. The final stable decomposition compound of Mg(BH₄)₂ is MgB₂ under both inert and hydrogen gas atmosphere.