Alloy coatings protect steel from corrosion in various applications. We investigated the effects of Si addition on the microstructure, electrochemical behavior, and corrosion resistance of steel sheets coated with a hot-dip Zn–Mg–Al–Si alloy using a batch-type galvanization process. Microstructural analysis revealed that the Zn–Al–Mg alloy coating layer contained a significant amount of Fe that diffused from the substrate, leading to delamination due to the formation of brittle Fe–Zn intermetallic compounds. However, the introduction of Si resulted in the formation of a stable Fe2Al3Si inhibition layer at the substrate–coating interface; this layer prevented interdiffusion of Fe as well as enhanced the coating adhesion. Additionally, the formation of acicular Mg2Si phases on the coating surface improved the surface roughness. As the Si content increased, the corrosion resistance of the coating improved. Specifically, the Zn–Al–Mg coating layer with 0.5 wt.% Si exhibited excellent anti-corrosion performance, without red rust formation on its surface even after 2600 h, during a salt spray test.