Self-healing coating has been widely applied into surface treatment of magnesium alloys, due to the fact that it can repair the mechanical damage and prolong the in-service life. Based on classical self-healing coating models and theories, the cutting-edge researches of self-healing coatings on magnesium alloys are reviewed. Chromate chemical conversion coating, one of chemical conversion coatings, is used to renew itself by inhibitors. This method is simple and easy to implement, but it is highly affected by the amount of corrosion inhibitors. The micro-container self-healing coatings, such as microcapsule and microtubules, enrich design concept of self-healing coatings, but it is also limited due to the relatively complicated process and the loadings of inhibitor. Recently, porous materials are used as micro-container, which is a novel coating design concept. Multifunctional composite coatings are the focus in recent research, and self-healing effect is usually only one of its functions. New self-healing coatings not only focus on multi-functional composite coatings, but also pay more attention to repair functions. Inorganic and polymer-based healing agents are usually combined to enhance self-healing effect. Also, self-healing coatings designed and triggered by actual condition are closer to the reality.