In sacrificial cathodic protection; the metal to be protected is made the anode while the sacrificial metal is the cathode; the sacrificial metal must be above the metal to be protected in the clectrochemical serics, so that the cathode metal (sacrificial metal) goes into solution to form its ions and evolves hydrogen.
Since only $Mg$ is above Fe in the activity series, it can be used as a sacrificial cathode to prevent iron from corroding.