Magnesium alloys are being studied for use in temporary orthopedic implants because of their mechanical properties, which are similar to those of human bone, and their good biocompatibility. However, their application is limited due to their rapid degradation, and early loss of their mechanical properties, decreasing the stability of the implant and its proper synchronization with tissue regeneration. In this regard, various surface coatings have been used to improve their biological, physico-chemical and biodegradation properties. Currently, one of the most explored strategies is using smart coatings because of their self-healing properties that can slow down the corrosion process of Mg and its alloys. Ceria-based materials show promise as coatings for these alloys. Their unique redox capacity not only provides Mg alloys with good self-healing properties but also interesting biological properties, which are described in this paper. Despite this, some problems and challenges related to the biocompatibility and application of these materials in coatings remain unsolved. In this article, a critical review is presented summarizing the most representative literature on ceria-based coatings on Mg alloys for their potential use as biomaterials. The results show that ceria is a versatile material that may be used in industrial and biomedical applications.