Diamond turning is used in many industrial applications to achieve a very fine surface quality and high form accuracy. Machining of soft material is challenging as material response affects the surface roughness generation mechanism. Magnesium alloys are widely used materials in the biomedical industries for implants, automobile industries, and lightweight material application in electronic, manufacturing, and aerospace industries. In the present work, diamond turning of magnesium alloy AZ31B is carried out using polycrystalline diamond tool. In the machining parameters, spindle speed and depth of cut remain fixed, whereas the feed rate is changed. The diamond turning is performed under the wet machining condition. The effect of feed rate on the quality of diamond-turned surfaces is analyzed. The minimum roughness (Ra) of 164 ± 21 nm is achieved on the surface diamond-turned with a mid-level feed rate. Furthermore, the concentric tool marks, scratches, and surface defects related to inclusions are visible on the machined surface. The future work can be carried out with a detailed analysis of the correlation of surface roughness generation mechanism with process parameters.