The non-sequential double ionization of magnesium atom in elliptically polarized strong laser field is investigated with the classical ensemble method. The non-sequential double ionization occurs in elliptically polarized strong laser field for magnesium atom, and the ionization rate decreases a little with the increase of ellipticity. Back analysis of the non-sequential double ionization trajectories shows that the decrease of the number of returning electrons results in the decrease of ionization rate. In addition, the distributions of the correlated two-electron transverse momentum and counts of electron with different energies demonstrate the kinetic energy of ionized electrons rises with the increase of ellipticity, so the second electron can be ionized easily with the recollision of the returning electron, which can compensate the reduced ionization rate, and thus the ionization rate does not decrease too much.