Magnesium (Mg) alloys are being investigated as a biodegradable metallic biomaterial because of their mechanical property profile, which is similar to the human bone. However, implants based on Mg alloys are corroded quickly in the body before the bone fracture is fully healed. Therefore, we aimed to reduce the corrosion rate of Mg using a double protective layer. We used a magnesium-aluminum-zinc alloy (AZ91) and treated its surface with micro-arc oxidation (MAO) technique to first form an intermediate layer. Next, a bioceramic nanocomposite composed of diopside, bredigite, and fluoridated hydroxyapatite (FHA) was coated on the surface of MAO treated AZ91 using the electrophoretic deposition (EPD) technique. Our in vivo results showed a significant enhancement in the bioactivity of the nanocomposite coated AZ91 implant compared to the uncoated control implant. Implantation of the uncoated AZ91 caused a significant release of hydrogen bubbles around the implant, which was reduced when the nanocomposite coated implants were used. Using histology, this reduction in the corrosion rate of the coated implants resulted in an improved new bone formation and reduced inflammation in the interface of the implants and the surrounding tissue. Hence, our strategy using a MAO/EPD of a bioceramic nanocomposite coating (i.e., diopside-bredigite-FHA) can significantly reduce the corrosion rate and improve the bioactivity of the biodegradable AZ91 Mg implant.