The rapid degradation of magnesium (Mg) based alloys has prevented their further use in orthopedic trauma fixation and vascular intervention, and therefore it is essential to investigate the corrosion mechanism for improving the corrosion resistance of these alloys. In this work, the effect of applied voltage on the surface morphology and the corrosion behavior of micro-arc oxidation (MAO) with different voltages were carried out to obtain biocompatible ceramic coatings on AZ31 Mg alloy. The effects of applied voltage on the surface morphology and the corrosion behavior of MAO samples in the simulated body fluid (SBF) were studied systematically. Scanning electron microscope (SEM) and X-ray diffractometer (XRD) were employed to characterize the morphologies and phase compositions of coating before and after corrosion. The results showed that corrosion resistance of the MAO coating obtained at 250 V was better than the others in SBF. The dense layer of MAO coating and the corrosion precipitation were the key factors for corrosion behavior. The corrosion of precipitation Mg(OH)2 and the calcium phosphate (Ca–P) minerals on the surface of MAO coatings could enhance their corrosion resistance effectively. In addition, the mechanism of MAO coated Mg alloys was proposed.