Phosphate chemical conversion (PCC) coatings have been investigated for improving surface protection of magnesium alloys in aerospace, automobile, electronics, sports goods, and biomedical applications. Zinc, calcium, zinc–calcium, manganese, magnesium, molybdate, and dihydrogen manganese polyphosphate conversion coatings are widely used for improving appearance, bonding strength, corrosion resistance, wear resistance, biocompatibility, and biodegradability of Mg and its alloys. As an overview, several main types of PCC coatings for Mg alloys, their properties, and behavior in different environments particularly for biomedical applications have been discussed. The pre-surface treatments, deposition mechanism, as well as process parameters, i.e., bath compositions, temperature, time, and pH, are also elaborated in a separate section. Additionally, the main types of PCC coatings applied on Mg and its alloys, their microstructural features, and their biological performance are briefly described. Finally, applicable characterization techniques to evaluate the properties of PCC-coated Mg alloys were also discussed.