Anodizing has become an important anticorrosive surface treatment technique of magnesium alloy, but the mechanism of anodic film formed on magnesium alloy is not understood fully. Several aspects were summarized up about the formation dynamics process of anodic film, including formation process, microstructure, composition, diffusion behavior of elements, the influence of alloy phase on formation of the film and the physical model. Finally, several important research problems of anodic film on Mg alloy were listed. It will benefit mastering the formation mechanism, improving the anodizing technology and enlarging the practical application.