MgB2 bulks with a density, 1.95g/cm3, have been successfully prepared by an improved Mg-diffusion method. The effects of different heat treatment conditions on superconducting transitions temperature, Tc and critical current density, Jc of MgB2 have been discussed. The MgB2 synthesized by optimal heat treatment conditions has the Tc, 38.1K and Jc at 10K, self-field, 0.53MA/cm2. In order to improve poor high field properties in diffusion method, nano-Pr6O11 and C doping effects on Jc and the irreversible field, Hirr of MgB2 have also been studied. The results show that at 10K and 6T the Jc for 15 at.% C-doped MgB2 reaches 104 A/cm2, which is almost two orders of magnitude higher than the undoped one, and better than the nano-C doped MgB2 prepared by solid-state reaction. For the nano-Pr6O11-doped MgB2, the Jc also increases by a factor of 9.4 than the pure sample at 10K and 2T. According to a great of experimental results and theoretic analyses, we propose that the combination of the improved Mg-diffusion method and chemical doing, nanoparticles or C doping, may be an efficient approach to make the MgB2 have excellent Jc and Hirr capability in whole magnetic field.