The AZ31B Magnesium alloy matrix syntactic foams containing Al2O3 hollow spheres (Al2O3 − HS) were successfully synthesized by the process of gravity infiltration casting. Extremely high chemical activity of magnesium melt with ceramics at high temperature makes it challenging to synthesize Mg-matrix syntactic foams (MgSFs) by casting. In this work, Al2O3 − HS were coated with MgO using MgCl2 solution after high-temperature calcination to successfully prevent the interfacial reaction. The porosity of the syntactic foams is strongly influenced by the concentration of the MgCl2 solution because it determines the coverage of Al2O3 − HS with the MgO coating and survival of particles. The maximum porosity of the syntactic foam was 41.64 vol.%, and the corresponding density is 1.17 g/cm3. At the MgCl2 solution coating concentration of 0.15 g/ml, the plateau stress of the syntactic foam reaches the maximum value of 55.96 MPa, the energy absorption capacity was 39.27 MJ/m3, and the maximum energy absorption was 26.06 kJ/kg. These properties are comparable to some MgSFs prepared by other methods in recent years.