High specific strength characteristics make magnesium alloys widely demanded in many industrial applications such as aviation, astronautics, military, automotive, bio-medicine, energy, etc. However, the high chemical reactivity of magnesium alloys significantly limits their applicability in aggressive environments. Therefore, the development of effective technologies for corrosion protection is an urgent task to ensure the use of magnesium-containing structures in various fields of application. The present paper is aimed to provide a short review of recent achievements in corrosion protection of magnesium alloys, both surface treatments and coatings, with particular focus on Mg-Al-Mn-Ce, Mg-Al-Zn-Mn and Mg-Zn-Zr alloys, because of their wide application in the transport industry. Recent progress was made during the last decade in the development of protective coatings (metals, ceramics, organic/polymer, both single layers and multilayer systems) fabricated by different deposition techniques such as anodization, physical vapour deposition, laser processes and plasma electrolytic oxidation.