This paper summarizes recent research progresses on {10$\bar{1}$2}-{10$\bar{1}$2} double extension twin and its related compound twin structures in Mg. Tension-compression asymmetry of Mg with strong texture can be greatly alleviated through sequential multi-directional deformations, which consist of several sequential bi-axial deformations. There exist 36 possible double extension twin variants, which can be classified into four misorientation groups according to their misorientations with respect to the grain matrix. One of the groups appears with a much higher frequency than the others, which cannot be perfectly explained by Schmid factor (SF) rule. Primary and secondary extension twins form intergranular and intragranular compound twin structures without any one-for-all mechanism. SF rule and m' factor, which evaluates how much twinning shear can pass through an interface, partly or even totally fail to explain the formation of the compound twin structures, presenting challenge to make clear mechanism of twin formation under complex loading conditions. It is suggested that modelling on the formation of intragranular compound twin structure and experimental characterization of interfacial structures of primary twin-twin boundary and secondary twin boundary should be paid much attention in the future.