Ultra-light Mg-Li alloy is a promising alloy in aerospace since it is known to the lightest structural alloy at present, but its fatigue behaviors remain to be explored. This work focuses on very-high cycle fatigue (VHCF) strength and small crack initiation behaviors of an extruded dual-phase Mg-Li alloy (LZ91). The fatigue strength of the LZ91 alloy at 109 cycles is about 78 MPa, and the fatigue ratio is approximately 0.46. Microstructure characterization demonstrates that fatigue crack tends to initiate from the β-Li phase-enriched region. The α-Mg phase, presenting <10−10 >  fiber texture with the basal plane, deforms hardly along the extrusion direction and acts as an enhanced phase compared with the β-Li phase. The deformation discrepancy localizes cyclic plasticity at the Li phase and finally leads to the fatigue crack initiation.