Al2O3–ZrO2 ceramic coatings were successfully prepared on WE43 magnesium alloy by cathodic plasma electrolytic deposition (CPED) technique. Surface morphology, elemental and phase composition of the coatings were investigated by scanning electron microscope (SEM), energy disperse spectroscopy (EDS) and X-ray diffraction (XRD). Furthermore, the electrochemical corrosion behavior of the coated magnesium alloy in simulated body fluids was evaluated. The results showed that the ceramic coatings were composed of t-ZrO2, α-Al2O3 and γ-Al2O3 phases with rough and coarse surfaces. The potentiodynamic polarization test indicated that corrosion resistance of WE43 magnesium alloy was significantly improved by CPED treatment. The approach presented here should be an attractive way for surface modification of Mg and its alloys.