The present work examined the influence of anion type on incorporating WO₃ into the MgO layer produced via plasma electrolytic oxidation of AZ31 Mg alloy. Here, three different anions, such as aluminate (AlO₂^-), silicate (SiO₃^2-), and phosphate (PO₄^3-) were added separately into an alkaline electrolyte containing WO₃ nanoparticles. The microstructural observations revealed that the incorporation of the WO₃ nanoparticles is affected by the diameter of discharge channels associated with the type of anion added into the electrolyte. The sample produced from phosphate electrolytes had higher thickness but was more porous than those obtained in aluminate or silicate electrolytes. Regardless of anion type, the amounts of WO₃ nanoparticles incorporated into the inner layer of PEO coating were more significant than those incorporated into the outer layer, where a WO₃-rich inner layer was obtained in the case sample coated in electrolyte with silicate anions. The electrochemical measurements in a 3.5 wt% NaCl solution indicated that the corrosion resistance of the sample coated in silicate electrolyte was superior to other samples in which the sample coated in phosphate electrolyte exhibited the lowest corrosion resistance. This behavior is explained by a mechanism in which every anion produces its microstructural defects under the influence of discharge types, such as type-A, B, C, D, and E, thus, affecting the physical incorporation of WO₃ into the MgO layer under plasma conditions.