Magnesium alloys have received a great amount of attention regarding being used in biomedical applications; however, they show high degradability, poor bioactivity, and biocompatibility. To improve these properties, surface modification and various types of coatings have been applied. In this study, an anodized AZ91 alloy was coated with a polymer matrix composite made of polycaprolactone/chitosan (PCL/Ch) with different percentages of baghdadite to improve its resistance to corrosion, bioactivity, and biocompatibility. The effects of different percentages of baghdadite (0 wt %, 1 wt %, 3 wt %, and 5 wt %) on the surface microstructure, corrosion resistance, roughness, and wettability were evaluated. The results indicated that the applied nano-polymer-ceramic coating including 3 wt % baghdadite was hydrophobic, which consequently increased the corrosion resistance and decreased the corrosion current density of the anodized AZ91 alloy. Coating with 3 wt % baghdadite increased the roughness of AZ91 from 0.329 ± 0.02 to 7.026 ± 0.31 μm. After applying the polymer-ceramic coating on the surface of anodized AZ91, the corrosion products changed into calcium–phosphate compounds instead of Mg(OH)2, which is more stable in a physiological environment.