The work aims to improve the corrosion resistance of micro-arc oxidation coatings on Mg-Li alloy. GO-containing composite coating was in-situ fabricated on Mg-Li alloy. Surface and cross section morphologies of the prepared coatings were observed by SEM. The composition and crystal structure were identified by XPS and XRD, respectively. Meanwhile, the corrosion behaviors of the prepared samples were studied by the potentiodynamic polarization and immersion test in 3.5%NaCl aqueous solution. The GO-containing composite coating possessed blocked pores, evidently higher compactness and relatively lower thickness and mainly consisted of SiO2, Mg2SiO4, and MgO phases. The corrosion current density of GO-free coating decreased by two orders of magnitude and the polarization resistance was correspondingly increased by two orders of magnitude, respectively. However, the corrosion current density of the GO-containing coating was only 57% of that of the GO-free coating. Besides, the polarization resistance of the GO-containing was estimated at up to 7.69×104 Ω?cm2, which was approximately 2.5 times the value of Rp for the GO-free coating. The composite coating immersed in NaCl solution could effectively maintain a low corrosion current density value for a long time. The GO additive can seal some micropores on the surface of MAO coating and increase the coating’s compactness to prevent corrosive ions from permeating into the substrate through discharge channels, thereby enhancing corrosion resistance of the MAO coating.