In this work, three types of fully dense aluminum-based (Al) coatings (pure Al, AA2219 and AA6061) were deposited on AZ31B magnesium (Mg) alloy by a recently developed in-situ micro-forging assisted cold spray process. The detailed microstructure, coating adhesion and corrosion protection performance were systematically investigated. Results show that the porosities of the pure Al, AA2219 and AA6061 coatings are as low as 0.34 ± 0.11%, 0.23 ± 0.09% and 0.24 ± 0.08%, respectively. Strong adhesion strength (83.6–91.5 MPa) was achieved for the Al-based coatings due to the in-situ micro-forging induced enhanced mechanical-interlocking between Al-based coating and the magnesium alloy substrate. The corrosion current density of the AZ31B Mg alloy decreases to 1.9–5.8 μA cm−2 from 312.8 μA cm−2 after coated with the Al-based coatings. The long-term corrosion tests further indicate that the Al-based coatings are not aqueous solution permeable during the entire 1000 h immersion, thus provided robust long-term corrosion protection of AZ31B Mg alloy substrate. Moreover, the difference in corrosion resistances among the three Al-based coatings was observed and was further explained based on their unique microstructures arising from the coating deposition process. The present in-situ micro-forging assisted cold spray process shows great potential for economical and effective corrosion protection of magnesium alloy and provides more freedom for industries to design and use magnesium alloy parts.