The high performance of as-cast Mg-RE alloys is always related to their high RE additions. However, RE elements can be readily segregated in Mg alloys and the segregation becomes more significant with the increasing RE content. In this research, the effect of cooling rate on the macro- and micro-segregation in the as-cast Mg–8Gd alloy was studied. The Gd content at the bottom of the fabricated ingot with the cooling rate of 4.6–6.9 °C/s was ~1.7 times of that at the top and coarse eutectics as well as some non-equilibrium phases of α-Gd, MgGd, Mg2Gd were distributed along the grain boundaries. The formation mechanisms of the specific gravity segregation and grain boundary segregation were also proposed. Upon the application of the water-cooled copper mold with the cooling rate of 27–200 °C/s, only fine Mg5Gd and some nanoscale metastable β1 and β′ phases were found to disperse uniformly in the grain interior, thus the homogeneity of the composition, microstructure, and performance within the whole ingot was considerably improved. It is expected that these results will facilitate the processing design for the fabrication of the highly-homogenized Mg-RE alloy castings.