We have grown the single crystals of CeMg and its non-magnetic analogue LaMg, which crystallize in the cubic crystal structure with the space group \textit{Fm\mathrm{\={3}}m}, and studied their magnetic properties on well oriented single crystals by measuring the magnetic susceptibility, magnetization and heat capacity. CeMg orders antiferromagnetically with a N'{e}el temperature of 2.6 K. The specific heat capacity at low temperature exhibits an enhanced Sommerfeld coefficient of 370 mJ/K mol indicating the heavy fermion nature of CeMg. An estimation of Kondo temperature was made and found that it is of similar magnitude as that of . The reduced value of the magnetization below the ordering temperature, together with the reduced entropy at the magnetic ordering temperature and the enhanced low temperature heat capacity indicates that Kondo effect plays a significant role in this compound. We have performed the crystalline electric field (CEF) analysis on the magnetic susceptibility and the heat capacity data and found that the ground state is a doublet with an overall splitting of 191 K.

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