Three micro-arc oxidization coatings were prepared on magnesium substrates in fluorozirconate electrolyte (Zr-coating), aluminate electrolyte (Al-coating) and silicate electrolyte (Si-coating). Morphologies, phase components, surface roughness, bonding strength, hardness and corrosion resistance of the coatings were investigated. The results show that the Zr-coating is dense and mainly composed of tetragonal ZrO2 (t-ZrO2), MgF2 and Mg2Zr5O12. The porous Al-coating is mainly composed of MgAl2O4 and MgO. The Si-coating is porous and mainly consists of Mg2SiO4 and MgO. The coatings formed in the three electrolytes reveal relatively coarse surface and are bonded tightly to the substrates. The Al-coating possesses a higher hardness than the Si-coating and the Zr-coating. The corrosion resistances of the coatings on magnesium surface are obviously superior to that of the pure magnesium substrate in the NaCl solution, and the Zr-coating shows the best corrosion resistance.