Plasma electrolytic oxidation coatings were prepared in aluminate, phosphate, and silicate-based electrolytic solutions using a soft-sparking regime in a multi-frequency stepped process to compare the structure, corrosion, and wear characteristics of the obtained coatings on AZ31 magnesium alloy. The XRD results indicated that all coatings consist of MgO and MgF2, while specific products such as Mg2SiO4, MgSiO3, Mg2P2O7, and MgAl2O4 were also present in specimens based on the selected solution. Surface morphology of the obtained coatings was strongly affected by the electrolyte composition. Aluminate-containing coating showed volcano-like, nodular particles and craters distributed over the surface. Phosphate-containing coating presented a sintering-crater structure, with non-uniform distributions of micro-pores and micro-cracks. Silicate-containing coating exhibited a scaffold surface involving a network of numerous micro-pores and oxide granules. The aluminate-treated sample offered the highest corrosion resistance and the minimum wear rate (5 × 10−5 mm3 N−1 m−1), owing to its compact structure containing solely 1.75% relative porosity, which is the lowest value in comparison with other samples. The silicate-treated sample was degraded faster in long-term corrosion and wear tests due to its porous structure, and with more delay in the phosphate-containing coating due to its larger thickness (30 µm).