The thin-wall Mg-3.82Y-2.46Nd-0.56Zr (WE43) alloy component was fabricated using cold metal transfer-based wire arc additive manufacturing technology (WAAM-CMT) and the way in which microstructure evolution influences the corresponding mechanical properties in different height zones was studied. The thin-wall WE43 alloy component was mostly composed of fully equiaxed grains that had low texture strength. As a result of the layer-by-layer deposition, its microstructure exhibited obvious layer characteristics, mainly including melt pools (MP) with coarse equiaxed grains and melt pool boundaries (MPBs) with fine equiaxed grains. The grain size of the thin wall in the building direction decreased from 25.3 ± 1.2 μm in the bottom zones to 22.3 ± 0.7 μm in the top zones, whereas the content of the second phase increased. No obvious anisotropy was observed in the mechanical properties of the thin wall. The top zone specimens were found to have the best mechanical properties with ultimate tensile strength (UTS) of 233 MPa, yield strength (YS) of 153 MPa and elongation (EL) of 10.4%. In comparison to the bottom zone specimens, improvement in the mechanical properties of the top zone specimens resulted from secondary phase strengthening and grain boundary strengthening.