An oxide ceramic coating can be formed on the surface of magnesium alloy by micro-arc oxidation so that the corrosion resistance of the magnesium alloy can be enhanced. In this paper, a general overview of the surface treatment of micro-arc oxidation on the surface of magnesium alloy is presented, the related research on the treatment of several kinds of magnesium alloys is introduced in detail, and a brief introduction of biological activity of magnesium alloy due to micro-arc oxidation is given. Finally, the technical advantages and existing problems are summarized.