Magnesium (Mg) alloys have a wide range of biomaterial applications, but their lack of biocompatibility and osteoinduction property impedes osteointegration. In order to enhance the bioactivity of Mg alloy, a composite coating of fluorinated hydroxyapatite (FHA) and tantalum (Ta) was first developed on the surface of the alloy through thermal synthesis and magnetron sputtering technologies in this study. The samples were characterized by scanning electron microscopy (SEM), atomic force microscopy (AFM), energy dispersive spectroscopy (EDS) mapping, X-ray diffraction (XRD), X-ray photoelectron spectroscopy (XPS), and water contact angle measurement (WCA), which characterized the surface alternation and confirmed the deposition of the target FHA/Ta coating. The results of cell morphology showed that the MC3T3-E1 cells on the surface of Mg/FHA/Ta samples had the largest spreading area and lamellipodia. Moreover, the FHA coating endowed the surface with superior cell viability and osteogenic properties, while Ta coating played a more important role in osteogenic differentiation. Therefore, the combination of FHA and Ta coatings could synergistically promote biological functions, thus providing a novel strategy for implant design.