The stress corrosion cracking behaviors of micro-arc oxidized AZ31 magnesium alloy were studied by using the slow tensile test in air and 3.5 wt.% NaCl solution. Results showed that compared with the substrate, the stress corrosion cracking susceptibility of the micro-arc oxidized specimens was obvious improved apparently in 3.5 wt.% NaCl solution, due to the good corrosion resistance of the specimens after micro-arc oxidized coating treatment. In addition, regardless of the micro-arc oxidized treatment, it was the mixed fracture in air and the cleavage fracture in 3.5 wt.% NaCl solution. The micro-arc oxidized coating had no direct effect on the fracture mechanism of the alloy. It was closely related to the nature of the material and the environment of the material servicing.