The invention relates to a cold rolling thermal treatment process for improving the bending property of an aluminum magnesium alloy. The process specifically comprises the following steps: smelting an aluminum magnesium alloy raw material to obtain an alloy liquid; refining, degassing, drossing and filtering the alloy liquid and directly continuously casting at a high speed and carrying out hot continuous rolling to prepare a plate and strip blank; and carrying out cold rolling, intermediate annealing, finish rolling and finish product annealing on the plate and strip blank to prepare an aluminum magnesium alloy plate and strip finished product, wherein the cold rolling step is that the plate and strip blank is cold-rolled in three passes to obtain a plate and strip material which is 1.3mm thick, and the reduction in every pass is 30%+/-5%; the intermediate annealing step comprises the following steps: insulating the cold-rolled plate and strip material for 8-10 hours at 480-510 DEG C, and then discharging and air-cooling to room temperature; the finish product annealing step comprises the following steps: insulating the finish-rolled plate and strip material for 2-3 hours at 170-190 DEG C, and then discharging and air-cooling to room temperature. Compared with the conventional process, the process can be further used obviously for improving the bending property of the aluminum magnesium alloy while the plasticity and the strength of an aluminum magnesium alloy panel finished product are ensured.