Smart Grid (SG) technology, which aims at bringing the world's aging electric grids into the 21st century by utilizing intelligent transmission and distributed networks, has been gaining momentum in recent years. Despite its attractive features, the SG technology remains vulnerable to some security threats, such as spoofing and man-in-the-middle attacks. In this paper, to address these potential security issues, we propose a light-weight and secure message authentication mechanism. The proposed mechanism is based on Diffie-Hellman key establishment protocol and hash-based message authentication code, which allows various smart meters at different points of the SG to make mutual authentication and achieve message authentication with low latency and few signal message exchanges. Detailed security analysis shows it can satisfy the desirable security requirements. In addition, extensive computer-based simulation also demonstrates its efficiency.