The structure and evolution of oxide film in Mg alloys have been a research objective for a long time but are still unclear up to now. In the present work, the structure of the entrained oxide film (which is also known as bifilm) in Mg–Y alloy castings protected by SF6/air cover gas was characterized. It was found that the entrained oxide film can be divided into two typical types: (1) single-layered F-rich films and (2) double-layered films with a F-rich inner layer and a F-poor outer layer. Based on the experimental phenomena and thermodynamic calculation, the evolution mechanism of the oxide film was also revealed. It was found that F element from the cover gas reacted with the melt firstly to form the initial F-rich single-layered film. Then, O and S were also involved in the reaction, transforming the initial film to be a (F, O, S)-rich single-layered film. Finally, when the F element was depleted, the newly formed layer on the existing oxide film is characteristically F-poor but (O, S)-enriched, leading to a double-layered oxide film. It was also found that the oxide film grew faster in SF6/air cover gas than in SF6/CO2 cover gas, resulting in a higher repeatability of mechanical properties of Mg–Y alloy castings.