Self-healing polyurethane is widely applied as the anti-corrosion coating to elongate the durability of substrate. However, it remains great challenge to achieve the rapid self-healing performance at room temperature for polyurethane. And it is even more difficult to accomplish the healing under the water. Herein, a novel self-healing polyurethane, PDMS-SS-Py, is prepared to achieve self-healing within 2 h at room temperature. Even under the water, the 97.1 % self-healing efficiency is kept. Molecular dynamics (MD) simulation and density function theory (DFT) demonstrate that hydrogen bonds are pioneers in the healing process of PDMS-SS-Py and elucidate the critical items to achieve the underwater self-healing. On the basis of PDMS-SS-Py, the composite coating, MAO/8-HQ/P, is fabricated on Mg alloy along with microarc oxidation (MAO) and inhibitor 8-hydroxyquinoline (8-HQ) inserted in the micropores of MAO. The self-healing performance of composite coating is almost the same as that of isolate PDMS-SS-Py. As compared with bare Mg alloy, the impedance modulus at the low frequency (|Z|0.01Hz) is increased by 8 orders of magnitude after covering MAO/8-HQ/P coating. Even after 12 days of immersion in 3.5 wt% NaCl solution, the MAO/8-HQ/P composite coating still maintains superior anti-corrosion performance. The excellent anti-corrosion performance is contributed by the self-healing property of PDMS-SS-Py layer, the active protection of 8-HQ, and the basic protection of MAO. This work provides a general strategy for constructing durable self-healing anti-corrosion coating on Mg alloy and deepens the mechanism of polyurethane repairing processes.