The microstructure of cerium-based conversion coatings with and without microcapsules containing Ce(NO₃)₃ or La(NO₃)₃ on magnesium alloys were investigated and the corrosion resistance was evaluated as well. The gelatin–chitosan microcapsules were prepared by complex coacervation. Microcapsules can effectively avoid the traditional porous state, namely, by releasing active and repairing material immediately after changes in coating integrity. Microcapsules distribute in the tiny cracks of coating deposited on magnesium alloys. The electron probe micro-analyser results characterise the element distribution of coating. The potentiodynamic polarisation curve and impedance spectra show that the conversion coating with microcapsules can enhance the corrosion resistance of magnesium alloys. The microcapsules containing La(NO₃)₃ show a better corrosion resistance so as to promote a self-healing performance.