In this study, a novel metal matrix composite based on 60 vol% 316L stainless steel and 40 vol% MgO manufactured by powder metallurgy technology was developed. The corrosion resistance of the developed steel–MgO composite material against molten aluminum alloy AlSi7Mg0.3 was investigated by means of wettability tests and long-term crucible corrosion tests. The wettability tests were carried out using the sessile drop method with the capillary purification technique in a hot-stage microscope (HSM). Static corrosion tests were performed in molten aluminum alloy at 850 °C for 168 h to evaluate the impact of pre-oxidation of the composite surface on the corrosion resistance. The pre-oxidation of steel–MgO composites was carried out at 850 and 1000 °C for 24 h, based on preliminary investigations using thermogravimetry (TG) and dilatometry. The influence of the pre-oxidation on the composite structure, the corrosion resistance, and the phase formation at the interface between the steel–MgO composite and aluminum alloy was analyzed using SEM/EDS and XRD. The impact of the steel–MgO composite material on the composition of the aluminum alloy regarding the type, size, and quantity of the formed precipitations was investigated with the aid of ASPEX PSEM/AFA and SEM/EBSD. It was revealed that the pre-oxidation of the steel–MgO composite at 1000 °C induced the formation of stable MgO-FeO solid solutions on its surface, leading to a significant increase of long-term corrosion resistance against the liquid aluminum alloy.