The forming process of Mg is strongly affected by the anisotropic mechanical behaviour. Traditionally, this behaviour is captured by uni-directional tests along different directions. However, the plastic flow of metals is determined by the whole evolution of mechanical behaviour along all dimensions (i.e. σxx, σyy, σzz, σxy, σyz and σzx) instead of uni-directional mechanical property. Moreover, the anisotropic plastic flow behaviour of metals under multi-axial loading is crucial to the forming technology. It is found that the aforementioned issues can be clarified by the anisotropic evolution of yield surfaces, i.e., directional distortional hardening. Therefore, the evolution of yield surfaces of AZ31 rolled sheet in σxx and σyy space was probed experimentally by means of compressive and biaxial tensile tests with specifically designed non-proportional strain paths. The anisotropic evolution of yield surface is observed under uniaxial tension, and the underlying deformation mechanism is discussed based on microstructure and texture analysis.