We present Swift UVOT and XRT observations, and visual wavelength spectroscopy of the Type IIb supernova (SN) 2009mg, discovered in the Sb galaxy ESO 121-G26. The observational properties of SN 2009mg are compared to the prototype Type IIb SNe 1993J and 2008ax, with which we find many similarities. However, minor differences are discernible including SN 2009mg not exhibiting an initial fast decline or u-band upturn as observed in the comparison objects, and its rise to maximum is somewhat slower leading to slightly broader light curves. The late-time temporal index of SN 2009mg, determined from 40 days post-explosion, is consistent with the decay rate of SN 1993J, but inconsistent with the decay of 56Co. This suggests leakage of gamma-rays out of the ejecta and a stellar mass on the small side of the mass distribution. Our XRT non-detection provides an upper limit on the mass-loss rate of the progenitor of <1.5x10^-5 Msun per yr. Modelling of the SN light curve indicates a kinetic energy of 0.15 (+0.02,-0.13) x10^51 erg, an ejecta mass of 0.56(+0.10,-0.26) Msun and a 56Ni mass of 0.10pm0.01 Msun.