Magnesium (Mg) and its alloys have received much attention in the aerospace, transportation, automotive industry, and military equipment fields due to their unique chemical and physical properties, such as their low density and high specific strength, particularly as the lightest structural metal materials, with the opportunity to achieve the design of lighter engineering systems. With the continuous improvement of processing technology, the application scope of magnesium alloy is rapidly expanding, and market demand is increasing. However, because of its significant electronegativity (2.37 V) and loose naturally formed oxide coating, magnesium has low corrosion resistance in comparison to other structural metal elements, severely limiting its large‐scale use. This review summarizes several typical anticorrosion methods for magnesium alloys, including chemical conversion coating treatment, anodic oxide film treatment, micro‐arc oxidation treatment, laser surface treatment, ion implantation, physical vapor deposition, and superhydrophobic coating. In most cases, the corrosion resistance of magnesium and its alloys has improved, but it has a certain degree of environmental damage. It is hoped that this review will contribute to further developing magnesium alloy materials in the field of preservative coating.