Rapid corrosion in aqueous solutions of magnesium alloys is one of the major obstacles to their wide application, and coating plays a crucial role in their corrosion protection. Recently, protection- and function-integrated coatings have attracted much attention in the research field of magnesium alloys. In this work, a simple chemical conversion process is proposed to fabricate a composite coating on a magnesium–neodymium alloy through immersion in an aqueous solution made of Ca(OH)2 and NaHCO3. After the immersion process, a coating consisting of two spontaneously formed layers is acquired. The top flower-like layer is composed of Mg5(OH)2(CO3)4∙4H2O, Mg(OH)2 and CaCO3, and the inner dense layer is speculated to be Mg(OH)2. Electrochemical impedance spectroscopy, polarization tests, and hydrogen evolution are combined to evaluate the corrosion resistance in simulated body fluid, simulated seawater solution, and simulated concrete pore solution, which reveals that the coated sample has better corrosion resistance than the uncoated one. After the coated sample is modified with fluorinated silane, a water-repellent surface can be achieved with an average water contact angle of 151.74° and a sliding angle of about 4°. Therefore, our results indicate that effective corrosion protection and potential self-cleaning ability have been integrated on the surface of the magnesium alloy in this study. In addition, the formation mechanism of the self-layered coating is discussed from the viewpoint of the interaction between the substrate and its external solution.