Magnesium borohydride (Mg(BH4)2) is one of the most promising hydrogen storage materials. Its kinetics of hydrogen desorption, reversibility, and complex reaction pathways during decomposition and rehydrogenation, however, present a challenge, which has been often addressed by using transition metal compounds as additives. In this work the decomposition of Mg(BH4)2 ball-milled with CoCl2 and CoF2 additives, was studied by means of a combination of several in-situ techniques. Synchrotron X-ray diffraction and Raman spectroscopy were used to follow the phase transitions and decomposition of Mg(BH4)2. By comparison with pure milled Mg(BH4)2, the temperature for the γ → ε phase transition in the samples with CoF2 or CoCl2 additives was reduced by 10–45 °C. In-situ Raman measurements showed the formation of a decomposition phase with vibrations at 2513, 2411 and 766 cm−1 in the sample with CoF2. Simultaneous X-ray absorption measurements at the Co K-edge revealed that the additives chemically transformed to other species. CoF2 slowly reacted upon heating till ~290 °C, whereas CoCl2 transformed drastically at ~180 °C.