The growing global consensus on the "carbon peak and neutrality" has focused on high-strength steel, highlighting its critical role in enhancing energy efficiency, reducing emissions in the steel industry, and reducing the weight of automobiles. Traditional Electro-Galvanizing (EG) and Hot-Dip Galvanizing (HDG) technologies face challenges in meeting the surface protection demands of these applications. This limitation is evident with the development of Zn-Mg coated strip steel, which offers high corrosion resistance. Continuous Physical Vapor Deposition (CPVD) effectively addresses these issues in a sealed vacuum environment, drawing significant attention in the strip coating industry owing to its superior surface quality, diverse material options, and environmental advantages. This article reviews the latest advancements and current status of Zn-Mg alloy coatings prepared using the CPVD technology. It discusses the typical thermal evaporation process used in CPVD, traces the development history of CPVD coatings on strip steel, and examines the microstructure, corrosion resistance, and adhesion performance evolution mechanisms of Zn-Mg alloy coatings. By designing multilayer structures, adjusting the Mg composition, and implementing controllable heat treatments, the overall performance of the coatings is enhanced. This study also comprehensively analyzes the feasibility of applying multilayer, highly corrosion-resistant Zn-Mg coatings. Additionally, it identifies the main challenges in applying CPVD technology to Zn-Mg coatings on strip steel, such as the large-scale, stable, and low-cost mass production of typical processes and controlling the void content at multilayer interfaces. Finally, future research directions are anticipated, underscoring the potentially significant impact of further alloying and computer simulations in advancing steel surface treatments.