As the lightest structural metallic material, magnesium alloy has been widely applied in aeronautics, astronautics, automotive and electronic fields due to excellent physical and mechanical properties such as low density and high strength to weight ratio. However, the further use of magnesium alloys is restricted by inherent limitations such as high chemical reactivity, and poor wear and corrosion resistance. The cold spray method developed in recent years can be used to prepare coatings with high density and adhesion strength to substrate in solid state, so it can provide a new effective method for magnesium alloy protection. Cold-sprayed corrosion protection coatings (pure Al, Al alloy and composite coatings) and wear resistant coatings (alloy and composite coatings) on magnesium alloys are summarized in this work. Main factors (including content of impurity element, type of alloy and amount, size and morphology of ceramic particles in composite coating) affecting cold sprayed corrosion resistance, wear resistance and other mechanical properties (hardness and coating/substrate adhesion strength) are discussed. The corrosion resistance of pure Al coatings produced by several normal surface treatment techniques is contrasted and then the advantage of cold sprayed technique for magnesium alloy protection is set forth. Finally the limitations and development difficulty of cold sprayed technique in magnesium alloy protection are put forward and the future research trends are also presented.