The research trends of magnesium alloy were briefly reviewed in terms of micro-arc oxidation, super-hydrophobic film, laser surface modification and sol-gel coating. The growth rate was faster, the film was denser, the hardness was higher, and the wear resistance and corrosion resistance of the magnesium alloy were better provided with micro-arc oxidation in bipolar and mixed (single and bipolar) current modes. The dense corrosion resistant film resisting to neutral salt spray test for over 200 hours could be obtained after micro-arc oxidation for a short time (~3 min) by adding suitable additives in the strong alkali solution mainly composed of high concentration caustic alkali. The micro-nano multi-level structure, roughened surface, could be formed on the surface of magnesium alloy by adopting hydrothermal method, electrochemical etching, micro-arc oxidation and electrodeposition. Then the surface was modified by low surface energy substances to obtain super-hydrophobic film layer and improve corrosion resistance of the magnesium alloy. The laser surface modification of magnesium alloy could improve the surface composition, refine the grain size, generate uniform phase distribution and improve solid solubility limit of the surface, thereby improving corrosion resistance, friction and wear resistance and fatigue strength of the magnesium alloy. Sol-Gel organic/inorganic hybrid coatings showed good adhesion to magnesium alloy substrate. They could not only improve the corrosion resistance of magnesium alloys, but also entrust oxidation resistance, wear resistance, water proofness and other properties to magnesium alloys.