Magnesium (Mg) and its alloys, which have good mechanical properties and damping capacities, are considered as potential candidate materials in the industrial field. Nevertheless, fast corrosion is the main obstacle that seriously hinders its wide applications. Surface modification is an available method to avoid the contact between corrosive media and Mg substrates, thus extending the service life of Mg-based materials. Generally, manufacturing a dense and stable coating as physical barriers can effectively inhibit the corrosion of Mg substrates; however, in some complex service environments, physical barrier coating only may not satisfy the long-term service of Mg alloys. In this case, it is very important to endow the coating with suitable functional characteristics, such as superhydrophobic and self-healing properties. In this review, the various surface treatments reported are presented first, followed by the methods employed for developing superhydrophobic surfaces with micro/nanostructuring, and an overview of the various advanced self-healing coatings, devolved on Mg alloys in the past decade, is further summarized. The corresponding preparation strategies and protection mechanisms of functional coatings are further discussed. A potential research direction is also briefly proposed to help guide functional strategies and inspire further innovations. It is hoped that the summary of this paper will be helpful to the surface modification of Mg alloys and promote the further development of this emerging research field.