Corrosion resistant coatings were prepared on AZ31 Mg alloy by plasma electrolytic oxidation (PEO) and aerosol deposition (AD), and their electrochemical corrosion properties were evaluated by potentiodynamic test and electrochemical impedance spectroscopy (EIS). PEO was carried out in a KF+NaAlO2 electrolyte and TiO2 was chosen as a coating material for AD. The PEO coating was macro-porous and mainly composed of MgAl2O4. The crack-free and dense TiO2 coating was successfully obtained on the PEO coating, which filled the surface pores of PEO coating. The potentiodynamic and EIS tests in 3.5wt.% NaCl solution indicated that the corrosion resistance of AZ31 Mg alloy was significantly improved by PEO/AD coating. The enhanced corrosion resistance of PEO/AD coating reflects that the outer porous layer of PEO coating was effectively sealed by AD TiO2 coating.