Corrosion and degradation of magnesium (Mg) alloy result in serious damage and limit its application in new‐energy automobile industry. Considerable protective coating is proposed, yet it is hindered by the difficulties in avoiding and visually monitoring coating micro‐damage and localized metal corrosion. Herein, a novel anticorrosion coating system with autonomously monitoring multiple levels of damages in coated Mg‐alloy system, is proposed. In this design, the top layer of coating consists of polymethyl methacrylate (PMMA) microcapsules containing crystal violet lactone (CVL) and polyurethane resin dispersed with SiO2 nanoparticles. Upon surface damage, the presence of SiO2 triggers the chromogenic reaction of CVL liberated from ruptured microcapsules, resulting in an immediate blue coloration to highlight coating damage. Meanwhile, the primer coating incorporates PMMA microcapsules with a phenolphthalein (PHP) core, which timely reveals alkaline corrosion pits at Mg alloy/coating interface by generating pink coloration. Furthermore, the microcapsules‐embedded coating exhibits superior corrosion resistance. The failure evolution dynamics of coating‐Mg system, including both the external coating damage and internal localized corrosion, can be visually indicated. This work provides an innovative strategy to tailor and monitor the degradation of coated Mg alloys, thereby presenting promising prospects for application in automotive anticorrosion engineering.