The micro-arc oxidation/graphene oxide (MAO/GO) composite coatings were successfully prepared on the surface of magnesium alloys by the MAO and electrodeposition technologies. The morphology and composition of the MAO/GO composite coatings were characterized by scanning electron microscopy, energy-dispersive spectrometry, X-ray diffraction, X-ray photoelectron spectroscopy, UV-vis spectroscopy, Raman spectroscopy, roughness test, and binding test. The electrochemical impedance spectroscopy, polarization curve, and immersion test were used to evaluate the protection performance of MAO/GO composite coatings provided to a substrate. The test results showed that GO covered the surface of the MAO film and had a multilayer structure in the composite coatings. The composite coatings performed the function of sealing the micropores of the MAO film. The elements in the surface of the composite coatings were evenly distributed and the C element content was high. We find that the composite coatings were smoother than the MAO film. The bonding force of the composite coating needs to be enhanced. The corrosion resistance of the MAO/GO composite coatings was obviously better than that of a single MAO film.