Zr is a valve metal, the biocompatibility of which is at least on par with Ti. Recently, numerous attempts of the formation of bioactive coatings on Zr by plasma electrolytic oxidation (PEO) in solutions that were based on calcium acetate and calcium β-glycerophosphate were made. In this study, the direct current (DC) PEO of commercially pure zirconium in the solutions that contained Ca(H2PO2)2, Ca(HCOO)2, and Mg(CH3COO)2 was investigated. The treatment was conducted at 75 mA/cm2 up to 200, 300, or 400 V. Five process stages were discerned. The treatment at higher voltages resulted in the formation of oxide layers that had Ca/P or (Mg+Ca)/P ratios that were close to that of hydroxyapatite (Ca/P = 1.67), determined by SEM/EDX. The corrosion resistance studies were performed using electrochemical impedance spectroscopy (EIS) and DC polarization methods. R(Q[R(QR)]) circuit model was used to fit the EIS data. In general, the coatings that were obtained at 200 V were the most corrosion resistant, however, they lacked the porous structure, which is typical for PEO coatings, and is sought after in the biomedical applications. The treatment at 400 V resulted in the formation of the coatings that were more corrosion resistant than those that were obtained at 300 V. This was determined mainly by the prevailing plasma regime at the given process voltage. The pitting resistance of Zr was also improved by the treatment, regardless of the applied process conditions.