Due to their good biodegradability and biocompatibility, magnesium alloys are widely favored as the potential candidate for the biodegradable cardiovascular stent. However, the rapid degradation and the limited biocompatibility in vivo remain the main bottlenecks that inhibit their clinical applications. The construction of the chemical conversion coating on the magnesium alloy surface represents one of the effective strategies to control the degradation rate and enhance the biocompatibility. In the present study, the different chemical conversion layers were prepared on the magnesium alloy surface by chemical conversion treatment, including sodium hydroxide (NaOH), hydrofluoric acid (HF), phosphoric acid (H3PO4) and phytic acid (C6H18O24P6) treatment, and the corrosion behaviors and biocompatibility of the chemical conversion layers were comparatively investigated in detail. The results showed that the different chemical treatments can produce the different conversion layers on the magnesium alloy surfaces with a variety of physicochemical characteristics, corrosion resistance and biocompatibility, and all treatments can enhance the corrosion resistance to varying degrees. The hydrophilicity and corrosion resistance of the sodium hydroxide-treated magnesium alloy were the best among all the materials. Although the hydrofluoric acid-treated magnesium alloy had produced a hydrophobic coating, the corrosion resistance still needed to be improved. Magnesium alloys treated by sodium hydroxide showed a selective promotion of albumin adsorption, while the other samples simultaneously promoted albumin and fibrinogen adsorption. For the blood compatibility, the hemolysis rates of all of the treated materials were reduced to below 5%. The samples treated by phytic acid had the smallest hemolysis rate, and the NaOH-treated magnesium alloy had the least amount of platelet adhesion and activation. An appropriate microenvironment for cell growth could be achieved by the chemical conversion treatment, according to the results of the endothelial cell adhesion and proliferation, and the NaOH-treated surface showed the best endothelial cell growth behaviors among all of the samples. In summary, the corrosion resistance and biocompatibility of the magnesium alloy were significantly improved by the sodium hydroxide treatment, and thus this treatment can be used as a pretreatment for the surface modification of the magnesium alloy in order to further enhance the biocompatibility when used as the cardiovascular implants.