Microstructural analysis of a Mg-Zn alloy deformed at room temperature by high-pressure torsion (HPT) indicates that fine-scale precipitation occurs even without post-deformation heat treatment. Small-angle X-ray scattering detects precipitates with radii between 2.5-20 nm after one rotation, with little increase in particle size or volume fraction after 20 rotations. High resolution electron micrographs identify grain boundary precipitates of monoclinic Mg$_4$Zn$_7$ phase after three rotations and MgZn$_2$ after 20 rotations.