Mg alloys are promising biomedical metal due to their natural degradability, good processability, and favorable mechanical properties. However, the poor corrosion resistance limits their further clinical applications. In this study, the combined strategies of surface chemical treatment and layer-by-layer self-assembly were used to prepare composite coatings on Mg alloys to improve the biocorrosion resistance. Specially, alkalized AZ91 Mg alloy generated chemical linkage with silane via Si–O–Mg covalent bond at the interface. Subsequently, Si–OH group from silane formed a crosslinked silane layer by Si–O–Si network. Further chemical assembly with graphene oxide (GO), lengthened the diffusion pathway of corrosive medium. The chemically assembled composite coatings could firmly bond to Mg alloy substrate, which persistently and effectively acted as compact barriers against corrosion propagation. Improved biocorrosion resistance of AZ91 Mg alloy with self-assembly composite coatings of silane/GO was subsequently confirmed by immersion tests. Besides, the Mg alloy exhibited good wear resistance due to outside layer of GO with a lubricant effect. Cell viability of higher than 75% had also been found for the alloy with self-assembly composite coatings, which showed good cytocompatibility.