Magnesium (Mg) alloys have demonstrated tremendous potential in biomedical applications, emerging as promising metallic biomaterials due to their biocompatibility, degradability, and favorable mechanical properties. However, their practical implementation faces significant limitations stemming from mechanical performance degradation and premature fracture failure caused by complex physiological interactions, including flow erosion, corrosion fatigue, stress coupling effects, and dynamic wear under bodily conditions. Surface coating technology has been recognized as an effective strategy to prevent direct contact between magnesium substrates and corrosive media. This review systematically examines the fundamental degradation mechanisms of magnesium alloys in both vivo and vitro environments, presents recent advances in surface modification coatings for magnesium alloys, and critically analyses the interaction mechanisms between modified layers and electrolyte solutions. Special emphasis is placed on revealing the formation mechanisms, structural characteristics, and fracture behaviors of conversion coatings. Furthermore, the study discusses the current challenges in biomedical surface modification of magnesium alloys, proposes potential solutions to enhance their clinical applicability, and outlines future research directions to fully exploit the development potential of these advanced biomaterials.