To further expand the application of Mg alloys at high temperatures, the oxidation resistance under flame exposure of Mg-0.3Ca and Mg-3.6Ca with protective coating were studied. Results show that the oxidation resistance of Mg-Ca alloys under flame exposure is significantly improved by the protective coating compared with the previous study, and Mg-3.6Ca shows better. The surface temperature of the Mg-Ca alloys is reduced by the coating, and finally the oxidation resistance under flame exposure is improved. However, the thermal insulation effect of the coating on Mg-3.6Ca is better, which can be attributed to the Ca accumulation on the surface film. In addition, the surface film with Ca accumulation layer plays a crucial role in protecting the alloy. No obvious Ca accumulation layer on the surface of Mg-0.3Ca shows a limited protective effect. Nevertheless, the surface film containing Ca accumulation layer is formed on Mg-3.6 Ca, which shows an excellent protective effect.