High-strength aluminum alloys are widely used in the aerospace industry owing to their excellent specific strength and plasticity. Additive manufacturing technology, which has developed rapidly in recent years, provides a new method for preparing high-strength aluminum alloys. Here, the Al-Mg-Sc-Zr alloy is prepared using selective laser melting (SLM). The microstructure and mechanical properties of the alloy are characterized and studied by X-ray computed tomography, optical microscope, scanning electron microscope, electron backscatter diffraction (EBSD), and a tensile test at room temperature. The results indicate that the forming quality of the Al-Mg-Sc-Zr alloy formed by SLM is good, the porosity is only 0.0013%, and the maximum pore size is 126 μm. The microstructure of the alloy comprises coarse- and fine-grained regions: the inside of the melt pool is a coarse-grained region, while the boundary of the melt pool is a fine-grained region. The Al₃(Sc,Zr) particles at the boundary of the melt pool provide numerous nucleation sites for the precipitation of Al grains, resulting in a remarkable grain refinement effect. The average grain size is 3 μm, and the average grain size in the fine-grained region is only 0.6 μm under the smaller scanning step of EBSD. The Al-Mg-Sc-Zr alloy formed by SLM has excellent tensile properties and low anisotropy. The tensile strength of the horizontal specimen is slightly higher, and its yield strength, tensile strength, and elongation rate reach 465 MPa, 508.2 MPa, and 14.07%, respectively. The characteristic of rapid cooling of SLM and the Sc and Zr elements enables the Al-Mg-Sc-Zr alloy formed by SLM to have good forming quality, refined grain structure, and nanosized Al₃(Sc,Zr) particles. The resulting fine grain strengthening and precipitation strengthening are the main strengthening mechanisms of the alloy's tensile properties.