Combustion characteristics of Mg particles in air, oxygen, carbon monoxide, carbon dioxide and water vapor were summarized. Different combustion products had different influences on second reaction and burning rate. Based on the analysis both of the combustion phenomenon and products, Mg particle experienced a process from surface heterogeneous oxidation to vapor phase combustion. Oxidation layer was formed by surface heterogeneous oxidation during ignition process and by condensation or sintering of products, oxide surface adsorption reaction or a phase separation of Mg-oxygen solution during combustion process. Based on combustion characteristics in different oxidative gases, mathematical models of a Mg particle combustion in oxygen, carbon dioxide and water vapor were introduced. Studies on Mg particles combustion need to focus on reaction mechanism, and model should reflect more physical and chemical information, such as reaction mechanism, chemical kinetics and effects of oxidation layer on combustion process.