The formation process of LDHs (layered double hydroxides) coating on magnesium alloy by the CO2 pressurization method was studied. The micro-structure was observed by OM, SEM and GAXRD. The weighted gain curve, apparent activation energy, and CO2 solubility curve were all calculated by equations. The potentiodynamic polarization curve, hydrogen evolution data, and immersion were analyzed by an electrochemical method. The results show that the LDHs coating was formed layer-by-layer. The formation positions were initially on the α-Mg phase, and then on the β-Mg17Al12 phase. It was found to be the most compact after 30 min. The LDHs coating began to appear to have severe cracks and holes over time. The formation process of the LDHs coating can be divided into three stages: a rapid growth stage (0–10 min), slow growth stage (10–20 min), and periodic growth stage (30 min, 1 h). The apparent activation energies in each of the three stages are 21.78, 31.86 and 34.92 kJ mol−1, respectively. The LDHs coating has a compact micro-structure and better anti-corrosion at a pressure of 3 MPa, a temperature of 50 °C and a time of 30 min. The CO2 pressurization promotes a formation reaction rate and achieves a high formation efficiency and good formation stability under the condition of zero pollution.