In recent years, the application of Mg and Mg alloys has achieved great progress in the field of medical devices due to their biodegradability and excellent biocompatibility. However, the fast degradation of Mg and its alloys has limited the clinical application of the Mg-based medical devices. Biodegradable organic polymer coating is an effective surface modification technology to decrease the degradation rate of Mg and its alloys, and provide a variety of functional properties for them. Effects of the biodegradable polymer coating on corrosion resistance and biocompatibility of Mg-based devices were firstly reviewed. The coating could prevent corrosive medium from contacting the substrate, thus prolonging the degradation period. The coating provided alkalescent environment for substrate protection, facilitating the growth and proliferation of cells. Moreover, the coating degraded along with the substrate, which could lower the risk of inflammation reaction caused by permanent existence of polymer in vivo. Besides, the application of polymer coating in the field of orthopedics and cardiovascular stents was reviewed. The biodegradable polymer coating, on one hand, could extend the action time of Mg and its alloys in vivo; on the other hand, the biodegradability of the polymer made it an ideal carrier to carry various reagents and drugs featuring in different functions to realize distinct functions, such as promoting bone healing and controlled drug release. In summary, the biodegradable polymer coating is expected to play an irreplaceable role in Mg and Mg alloys-based medical devices.