Zn coatings alloyed with magnesium offer superior corrosion resistance compared to pure Zn or other Zn-based alloy coatings. In this study, Zn/Mg/Zn multilayer coatings with various Mg layer thicknesses were synthesized using an unbalanced magnetron sputtering process and were annealed to form Zn-Mg intermetallic phases. The effects of the annealing heat treatment on the corrosion resistance of the Zn/Mg/Zn multilayer coatings were evaluated using electrochemical measurements. The extensive diffusion of magnesium species into the upper and lower zinc layer from the magnesium layer in the middle of the coating was observed after the heat treatment. This phenomenon caused (a) the porous microstructure to transition into a dense structure and (b) the formation of a MgZn2 intermetallic phase. The results of the electrochemical measurements demonstrated that the heat treated Zn/Mg/Zn multilayer coatings possessed higher levels of corrosion resistance than the non-heat treated coatings. A Zn/Mg/Zn multilayer coating with MgZn2 and (Zn) phases showed the best corrosion resistance among the heat treated coatings, which could be attributed to the reduced galvanic corrosion effects due to a small potential gradient between the MgZn2 and zinc.