Hi Tikam......

 The energy needed to remove one or more electrons from a neutral atom to form a positively charged ion is a physical property that influences the chemical behavior of the atom. By definition, the first ionization energy of an element is the energy needed to remove the outermost, or highest energy, electron from a neutral atom in the gas phase.

Li has the highest first ionization energy compared to Na & Mg. 

The principal quantum number of the orbital holding the outermost electron becomes larger as we go down a column of the periodic table. Although the number of protons in the nucleus also becomes larger, the electrons in smaller shells and subshells tend to screen the outermost electron from some of the force of attraction of the nucleus. Furthermore, the electron being removed when the first ionization energy is measured spends less of its time near the nucleus of the atom, and it therefore takes less energy to remove this electron from the atom.

Hope this helps......Thank U