Twinning and shear bands are two main deformation structures in magnesium alloys at low temperatures, however, the relationship between these two deformation structures is still under debate. To clarify their relationship and behaviours at low temperatures, rolling tests to various thickness reductions at room temperature (RT) and liquid nitrogen temperature (LNT) were conducted for AZ31 magnesium alloys. The evolutions of shear bands and twinning, and their interactions with geometrically necessary dislocation (GND), were observed during the RT- and LNT-rolling process. Abundant shear bands, evolving from {101 ̅1}-{101 ̅2} double twins (DTWs), were observed in the RT-rolled samples, while a high quantity of twins, including {101 ̅2} tension twins (TTWs), twin-twin interactions and twinning sequence, were observed in the LNT-rolled samples. More importantly, a rarely observed twinning sequence behaviour, namely primary TTW-TTW interactions→ secondary TTW-TTW interactions, creating a 45° <202 ̅1 ̅> misorientation peak, was studied. Abundant GNDs accumulated around these twin-twin interactions, twinning sequence, DTWs and shear bands, while the GND density was low around TTWs. This research delivers a systematic investigation into the deformation structures in Mg alloys during the rolling process from RT to cryogenic temperature and provides insights into the newly discovered twinning sequence and twin-twin interactions.