The corrosion resistance of magnesium alloys could be enhanced by covering metallic coatings on the surface. The zinc-rich coating is one of these metallic coatings. To fabricate a zinc-rich coating on magnesium alloys, the substrate should be pretreated carefully, and a protective atmosphere is usually required. In this research, a zinc-rich coating was successfully fabricated on the AZ91D magnesium alloy in air by a diffusion alloying method, with zinc oxide as the zinc source. At the same time, the pretreatment of the magnesium alloy matrix was greatly simplified. The as-diffusion-alloyed zinc-rich intermetallic layer was investigated, utilizing SEM, EDS, and XRD, respectively. It is inferred that zinc oxide was reduced into Zn atoms by the active Mg atoms, and the Mg atoms were coming from the magnesium alloy matrix. Then the Zn atoms passed through the oxide film and formed an intermetallic layer on the magnesium alloy surface. Thus, taking advantage of the activity of Mg atoms, magnesium alloys could be surface alloyed with oxides.