Magnesium (Mg) and its alloys are well known for their high specific strength and low density. However, widespread applications of Mg alloys in structural components are impeded by their insufficient wear and corrosion resistance. Various surface engineering approaches, including electrochemical processes (plating, conversion coatings, hydriding, and anodizing), gas-phase deposition (thermal spray, chemical vapor deposition, physical vapor deposition, diamond-like coatings, diffusion coatings, and ion implantation), and organic polymer coatings (painting and powder coating), have been used to improve the surface properties of Mg and its alloys. Recently, laser surface engineering approaches are attracting significant attention because of the wide range of possibilities in achieving the desired microstructural and compositional modifications through a range of laser-material interactions (surface melting, shock peening, and ablation). This article presents a review of various laser surface engineering approaches such as laser surface melting, laser surface alloying, laser surface cladding, laser composite surfacing, and laser shock peening used for surface modification of Mg alloys. The laser-material interactions, microstructural/compositional changes, and properties development (mostly corrosion and wear resistance) accompanied with each of these approaches are reviewed.