Magnesium and its alloys possess low density and superior specific strength making it a potential structural metal to be used in different engineering fields. However, its proneness to corrosion limits its applications. In this novel study, an eco-friendly graphene-oxide coating was prepared on AZ31 magnesium alloy via electrophoretic deposition to enhance its anti-corrosion properties. Scanning electron microscopy coupled with energy dispersive spectroscopy, atomic force microscopy, and scratch test were adopted to investigate surface morphology, roughness, chemical composition, and adherence of the coating. The corrosion behaviour of graphene-oxide coated alloy was studied using potentio-dynamic polarization and electrochemical impedance spectroscopy tests in 3.5 wt% NaCl and Borate Buffer solutions. The obtained results demonstrate that the coating developed on AZ31 alloy is smooth and adherent with the hardness of the as-deposited coating measuring as high as 6.0 GPa. In addition, the electrochemical corrosion behaviour studies revealed that the coating significantly increased the corrosion potential (Ecorr) of the alloy towards more noble values (−0.65 V < Ecorr < −0.35 V), with the coated alloys possessing a charge transfer resistance nearly two orders of magnitude greater than their non-coated counterparts. Consequently, the corrosion rate of the coated alloy decreased substantially, indicating that the coating exhibits exceptional corrosion resistance (0.045–0.09 mm/a in 3.5 wt% NaCl and 0.002–0.006 mm/a in Borate Buffer). These findings challenge the conventional beliefs that graphene exhibits strong cathodic behaviour towards anodic materials such as AZ31 alloy. Thus, the outcomes not only have the potential to revolutionize the advancement of graphene-oxide coatings for corrosion resistance but could also possibly expand AZ31 alloy’s applications in the aerospace and automotive sectors.