Different methods for preparation of unsolvated magnesium borohydride, a promising material for hydrogen storage, based on exchange reaction of MgCl2 with lithium and sodium borohydride in different solvents have been evaluated. A convenient scalable method for synthesis of pure Mg(BH4)2 by ball milling a mixture of MgCl2 and NaBH4 in diethyl ether has been developed. Crystalline stable low and high temperature phases, as well as a new metastable phase of unsolvated magnesium borohydride have been prepared.