Friction stir welding was successfully applied to duplex Mg-8.9Li-3.5Al-0.9Zn (LAZ931) alloy plates with a thickness of 5.2 mm utilizing a steel tool at a constant tool rotation speed of 800 rpm and different welding speeds ranged from 50 to 200 mm/min. Generally, the stir zone of the welded joints showed significantly refined microstructure and the average grain size of the stir zone decreased with the increase in the welding speeds. In the joint stir zone, the shoulder-driven region showed obviously elongated grain structure, while the probe-driven region could be divided into two parts according to the microstructural difference, namely the fine-grained part on the advancing side and coarse-grained part on the retreating side. The intermetallic compound θ-MgAlLi2 was detected in the fine-grained part, which consisted of a homogeneous mixture of remarkably refined Mg-rich α phase and Li-rich β phase. For all the joints, the hardness of the stir zone was higher than that of the base metal due to the grain refinement strengthening and θ-MgAlLi2 precipitation strengthening. Meanwhile, the softening of the heat affected zone could not be found due to the low heat input. All the global tensile specimens of the joints fractured in the base metal during the tensile tests, and the ultimate tensile strength of the miniature specimens containing only stir zone reached up to 229 MPa, which is higher than the 160 MPa of the base metal.