Due to their excellent biodegradability characteristics, Mg and Mg-based alloys have become an emerging material in biomedical implants, notably for repair of bone as well as coronary arterial stents. However, the main problem with Mg-based alloys is their rapid corrosion in aggressive environments such as human bodily fluids. Previously, many approaches such as control of alloying materials, composition and surface treatments, have been attempted to regulate the corrosion rate. This article presents a comprehensive review of recent research focusing on surface treatment techniques utilised to control the corrosion rate and surface integrity of Mg-based alloys in both in vitro and in vivo environments. Surface treatments generally involve the controlled deposition of thin film coatings using various coating processes, and mechanical surfacing such as machining, deep rolling or low plasticity burnishing. The aim is to either make a protective thin layer of a material or to change the micro-structure and mechanical properties at the surface and sub-surface levels, which will prevent rapid corrosion and thus delay the degradation of the alloys. We have organised the review of past works on coatings by categorising the coatings into two classes—conversion and deposition coatings—while works on mechanical treatments are reviewed based on the tool-based processes which affect the sub-surface microstructure and mechanical properties of the material. Various types of coatings and their processing techniques under two classes of coating and mechanical treatment approaches have been analysed and discussed to investigate their impact on the corrosion performance, biomechanical integrity, biocompatibility and cell viability. Potential challenges and future directions in designing and developing the improved biodegradable Mg/Mg-based alloy implants were addressed and discussed. The literature reveals that no solutions are yet complete and hence new and innovative approaches are required to leverage the benefit of Mg-based alloys. Hybrid treatments combining innovative biomimetic coating and mechanical processing would be regarded as a potentially promising way to tackle the corrosion problem. Synergetic cutting-burnishing integrated with cryogenic cooling may be another encouraging approach in this regard. More studies focusing on rigorous testing, evaluation and characterisation are needed to assess the efficacy of the methods.