Problems of rapid degradation and poor biocompatibility (endothelialization and hemocompatibility) limit magnesium (Mg) alloy’s further applications in vascular stents. To solve these problems, a novel composite coating was designed on Mg alloy via a two-step method. First, a Mg alloy sample was immersed in hydrofluoric acid. Then, a poly-l-lactic acid (PLLA) coating was made by ultrasonic atomization spraying with 5 and 10 layers (referred to as PLLA(5)-HF-Mg and PLLA(10)-HF-Mg). Characterizations were analyzed from the microstructure, element distribution, and wettability. The degradation behavior was tested with an electrochemical test and immersion test. Endothelialization was investigated using human umbilical vein endothelial cells (HUVECs). Hemocompatibility was examined with a platelet adhesion test. The results showed that the PLLA coating could not only cover the surface, but also could permeate through and cover the holes on the MgF2 layer, mechanically locked with the substrate. Thus, the composite coating had higher corrosion resistance. The PLLA/MgF2 coating, especially on PLLA(10)-HF-Mg, enhanced HUVECs’ viability and growth. While incubated with platelets, the PLLA/MgF2 coating, especially on PLLA(10)-HF-Mg, had the lowest platelet adhesion number and activity. Taken together, the novel PLLA/MgF2 coating controls Mg alloy’s degradation by spraying different layers of PLLA, resulting in better endothelialization and hemocompatibility, providing a promising candidate for cardiovascular stents.