The work aims to compare the novel PEF coating and conventional PEO coating in terms of corrosion behavior. The electrochemical corrosion behavior was evaluated by means of OCP monitoring and potentiodynamic polarization tests in neutral and acidic corrosive media, while the long-term corrosion behavior by immersion and salt spraying tests. SEM, EDS and XRD were employed to characterize the coatings’ original microstructure and composition, as well as the characteristics of the corroded coatings and resultant corrosion products. The results show that the PEF coating was effective to protect Mg alloys from corrosion damage as well as the PEO coating. The PEF coating was performed better than the PEO coating in corrosion resistance during the immersion and salt spraying tests, but showed a higher corrosion potential and corrosion current density which respectively indicated a lower corrosion tendency and a higher corrosion rate. In sum, the PEF coating was performed better than the PEO coating in corrosion resistance. The corrosion failure of the PEF coating was mainly attributed to the diffusion of the neutral corrosive medium or the dissolution of the coating in acidic corrosive medium. The corrosion failure of the PEF coating was attributed to the diffusion of the corrosive media.