Niobium (Nb) and zirconium dioxide (ZrO2) were doped into hydroxyapatite (HA) to fabricate HA-based composite coatings prepared on a ZK60 magnesium alloy by plasma spraying technology to improve anti-corrosion and biocompatibility for clinical applications. The results revealed that the Nb-enriched coating exhibits fewer cracks and pores with a flat surface due to the decreased temperature gradient during spraying, and small needle-like structures can fill the cracks and pores in the ZrO2-contained coating, resulting in a more uniform and dense surface. Compared to coatings with only niobium or zirconium dioxide, the ZrO2/Nb/HA composite coating significantly enhanced the mechanical properties and corrosion resistance of the magnesium alloys. Among all the specimens, the ZrO2/HA coating and ZrO2/Nb/HA coating revealed high surface hardness values (327.73 HV and 293.80 HV, respectively). However, the higher hardness value made the ZrO2/HA coating fragile and more likely to crack, while the ZrO2/Nb/HA coating avoided this shortcoming and exhibited a more comprehensive performance. During immersion tests, the ZrO2/Nb/HA coating exhibited a gradual pH increase and minimal mass loss, and the cytocompatibility test demonstrated promising cellular activity.