Steel coated with zinc and zinc alloys is widely utilized for home appliances, construction, automobiles, and other applications due to its high corrosion resistance. In this work, the corrosion behavior at cut edges of Zn-11%Al-3%Mg-0.2%Si-alloy-coated steel sheets (SD) was investigated with a cyclic wet-dry corrosion test. The results showed that SD has anticorrosive property superior to that of zinc-coated steel sheets (GI) during the early period of corrosion. GI produced red rust, whereas SD produced no red rust. After the cyclic wet-dry corrosion test, zinc-containing white rust was deposited on steel substrate. In the case of SD, magnesium reached the center of the cut edge, and a larger area on the steel was covered with white rust. Polarization measurements of steel substrate on which white rust was deposited clarified that the white rust of SD reduced both the anodic and cathodic current densities of the steel substrate more than GI. In the case of SD, the galvanic current between the steel substrate with white rust and the coating layer was small compared to that in the case of GI. It is suggested that this anticorrosive property of SD is caused by magnesium-containing white rust.