Oxide films produced from plasma electrolytic oxidation are porous in structure. While they have some passivating effect in Mg alloys, the pores still lead to corrosion over long periods of exposure. In this study, spray pyrolysis was used to seal the porous oxide layer developed through the plasma electrolytic oxidation method on Mg alloy AZ31. The PEO coating acted as a good base for the application of spray pyrolysis due to its morphology. Three different kinds of coatings were obtained using different precursors: zinc acetate for ZnO, phosphoric acid for phosphate (P), and a mixture of zinc acetate and sodium phosphate for ZnO+P. The corrosion performance of all three coatings was studied by performing electrochemical impedance and polarization tests on the samples. Mass loss over a duration of 1 week was measured in 3% NaCl solution using immersion gravimetry. The coating with only phosphate (P) was found to be most corrosion-resistant with 52 times lower rate of corrosion and 50 times more polarization potential. The chemical composition of the corrosion products was studied using XRD and SEM-EDS analysis. Mass loss in ZnO+P was the highest, at up to 1.4 and 5.1 times higher than ZnO and P, respectively.