Magnesium alloy is considered as one of the ideal cardiovascular stent materials owing to its good mechanical properties and biodegradability. However, the in vivo rapid degradation rate and the insufficient biocompatibility restrict its clinical applications. In this study, the magnesium alloy (AZ31B) was modified by combining the surface chemical treatment and in-situ self-assembly of 16-phosphonyl-hexadecanoic acid, followed by the immobilization of chitosan-functionalized graphene oxide (GOCS). Heparin (Hep) and GOCS were alternatively immobilized on the GOCS-modified surface through layer by layer (LBL) to construct the GOCS/Hep bioactive multilayer coating, and the corrosion resistance and biocompatibility were extensively explored. The results showed that the GOCS/Hep bioactive multilayer coating can endow magnesium alloys with an excellent in vitro corrosion resistance. The GOCS/Hep multilayer coating can significantly reduce the hemolysis rate and the platelet adhesion and activation, resulting in an excellent blood compatibility. In addition, the multilayer coating can not only enhance the adhesion and proliferation of the endothelial cells, but also promote the vascular endothelial growth factor (VEGF) and nitric oxide (NO) expression of the attached endothelial cells on the surfaces. Therefore, the method of the present study can be used to simultaneously control the corrosion resistance and improve the biocompatibility of the magnesium alloys, which is expected to promote the application of magnesium alloys in biomaterials or medical devices, especially cardiovascular stent.