Magnesium alloys are potential biodegradable biomaterials in hard tissue implants. However, the fast degradation rate in the biological environment has hampered widespread applications. We propose to use a ZrO2 coating in conjunction with a Zr transition layer to improve the corrosion resistance of AZ91 magnesium alloy. X-ray photoelectron spectroscopy discloses that the coating is composed of ZrO2. The Vickers hardness measurement demonstrates that the surface hardness of the alloy is significantly enhanced. The electrochemical behavior of the coated sample is systematically evaluated by means of potentiodynamic polarization, open-circuit potential evolution, and electrochemical impedance spectroscopy. The electrochemical results indicate that the corrosion resistance of the coated alloy is enhanced significantly, and the electrode-controlled processes in a coated alloy–solution system are discussed.