Newly developed Zn-Mn-Mg alloys can be invoked as biomedical materials because of their excellent mechanical properties. However, the corrosion behavior of Zn-Mn-Mg alloys was still lacking in research. It had grown to be a hot research topic to improve the corrosion behavior of Zn alloys by surface treatment to meet the application of degradable Zn alloys in biomedical applications. Micro arc oxidation (MAO) is a simple and effective method to improve the corrosion behavior of the alloy. MAO coatings were successfully prepared on the surface of Zn-Mn-Mg alloys by MAO in silicate-based solutions with different NaF concentrations. The microstructure and phase composition of MAO coatings prepared on Zn-Mn-Mg alloys with different NaF concentrations in the electrolyte was examined by a scanning electron microscope and X-ray diffraction. The results showed that the MAO coatings are porous and mainly composed of ZnO. With the increasing NaF concentration in the electrolyte, the average thickness increases. The distribution of the micro/nanopores was uniform, and the pore size ranged from the submicron scale to several micrometers after MAO treatment in the electrolyte containing different concentrations of NaF. Potential dynamic polarization curves and electrochemical impedance spectroscopy were employed to assess the corrosion behavior of MAO coatings in Hank’s solution. The highest corrosion rate can be achieved after MAO treatment, with an electrolyte concentration of 1.5 g/L NaF in Hank’s solution. These results indicated that MAO coating can accelerate the corrosion resistance of a Zn-Mn-Mg alloy.