The scope of this review article is to offer a general view of the recent advances in the plasma electrolytic oxidation of Mg and Mg alloys with emphasis of the Plasma Electrolytic Oxidation (PEO) processing parameters used to obtain key surface properties for medical and engineering applications. The paper presents the different dependencies of the PEO process, first of all depending on the composition of the substrate, the electrolyte used, the applied electrical regime, as well as the way of their interaction, with direct implications on the properties designed to satisfy concrete applications for magnesium alloys. Magnesium-deformable alloys are of particular interest for the manufacture of parts for the for medical and engineering applications and industry due to the possibility of obtaining a more homogeneous structure and better mechanical properties, compared to cast parts. Also, magnesium alloys find its place to a broad range of aerospace, electronics, commercial and sport-related applications. In general, the interactions of the substrate / electrolyte combination with the electrical regime are complex and still the subject of ample research. Because, unlike other electrolytic surface treatment methods, PEO results in the formation of high-strength ohmic layers, they affect, especially in the case of current-controlled regimes, the extent to which the predefined electrical pulse is projected correctly in the setting experimental data.