To improve the surface properties of Mg alloys and expand the applications of CrN-based materials, composite CrSiN coatings consisting of amorphous Si3N4 and nano CrN phases have been prepared on AZ31 based on the theory of fine grain strengthening and multigrain boundaries. The effect of the thickness of the coating on the structure and properties was investigated. The microstructure was studied by means of X-ray diffraction (XRD), scanning electron microscope (SEM) and transmission electron microscope (TEM). The mechanical properties, adhesion properties, and corrosion resistance were investigated using a nanoindentater, scratch testers, and electrochemical workstations. The results show that the coating consists of a face-centered cubic CrN phase, that Si3N4 is not found in the diffraction pattern, and that the HRTEM images show a composite structure of amorphous and nanocrystalline phases. With the increase in deposition time (thickness), the surface roughness decreases, the defects disappear, and the interface has no visible defects. Moreover, the hardness and elastic modulus of the coating increase, corrosion resistance improves, adhesion performance first increases and then decreases. The adhesion between coating and substrate reaches the maximum when sputtering time is 50 min, which corresponds to the CrSiN thickness of 0.79 μm.