Magnesium diboride superconductor is still of considerable interest because of its appealing characteristics towards application mainly at around 20 K. Unlike Nb-based superconductors, $MgB_2$ can be operated by cryogen-free cooler which provides a cost effective alternative at low field of around 2-5 T. To explore this operating field region considerable efforts are necessary to marginally improve the superconducting properties of $MgB_2$. Under this situation, even the heat treatment environment during the synthesis is considered as an important factor. The addition of $H_2$ gas in small amount with Ar as a mixed gas during annealing has an adverse effect on the superconducting properties of $MgB_2$. It is although interesting to find that the presence of Mg vapor along with hydrogen during heat treatment results in the appreciable improvement in the flux pinning and the overall response of the critical current density for the ex-situ $MgB_2$ samples.