The composite coatings with self-cleaning and high-temperature-resistant functions are indispensable for magnesium alloys to widen their application in harsh environments. In this paper, the composite coating that has superhydrophobic and low adhesive characteristics with self-cleaning and high-temperature-resistant functions was prepared on the AZ31 magnesium alloy surface by chemical conversion, boiling-water immersion and stearic-acid modification. The surface morphology of the coating was observed by field emission scanning electron microscopy (FESEM). The chemical composition of the coating was identified by X-ray photoelectron spectroscopy (XPS). The wettability and adhesion of the coating surface to water was evaluated by contact angle measuring instrument (CA) and high-speed camera (HSC). The self-cleaning function of the coating in air and oil (cyclohexane) was measured with chalk powders as the target contaminant. The high- temperature-resistant function of the coating was evaluated by the high-temperature exposure test and boiling-water immersion cycling test. The characterization results indicated that the as-prepared coating was composed of (HYDR) oxides and stearates of Zr and Mg, which presented as partly-filled micro-nets formed by nanofibers. The coating surface had a high static water contact angle of 160.4° and a low roll-off angle of 1°, which indicated that the coating accorded with Cassie-Baxter model and had superhydrophobic and low adhesive characteristics. The coating demonstrated remarkable self-cleaning function in air and oil, and attractive high-temperature-resistant function in air and water. The as-prepared self-cleaning and high-temperature-resistant composite coating in this work is expected to widen the application of magnesium alloys in harsh environments.