With the research results on the micro-arc oxidation of magnesium alloys, the formation mechanism of micro-arc oxidation coating of magnesium alloys was introduced. Optical emission spectroscopy was used to identify the elements presented in the plasma discharge process and the plasma temperature was calculated. The micro-arc oxidation functional coatings of magnesium alloys were also introduced. Furthermore, the effects of reinforcement phases on the corrosion resistance of micro-arc oxidation ceramic coatings of magnesium matrix composites were reviewed. The advantages and disadvantages of different electrolytes during the micro-arc oxidation were summarized and the significant influence on the structure and properties of the micro-arc oxidation ceramic coatings were analyzed. The additives could improve the conductivity and stability of the electrolyte and reduce the porosity of the ceramic coating. The effects of alloying elements, power types, electrical parameters and post-sealing processing on the structure, morphology and performance of the ceramic coatings were elaborated. Based on the research status in the micro-arc oxidation of magnesium alloys, the development direction in research of the micro-arc oxidation of magnesium alloys is prospected.