Developing magnesium alloys with both high corrosion resistance and superior mechanical properties is a long-standing challenge for the lightweight metal community. Herein, processing route combining equal-channel angular pressing (ECAP) and water annealing to achieve simultaneous improvements on both anti-corrosion and mechanical performances of a Mg-2Zn-Mn-Ca-Ce alloy is proposed. The cast alloy was ECAP-processed at 573 k for 12 passes to obtain ultra-fine grains (UFG), followed by water annealing in the autoclave under 160 °C for 3 h. The treated sample exhibits significantly improved corrosion resistance, presenting less corrosion current density and hydrogen evolution rate in the Hanks' solution. The doubled yield/ultimate strength and elongation, as well as the better-maintained mechanical integrity after corrosion, were achieved simultaneously. The profuse dislocations and grain boundaries in the UFG substrate offer intensive hydrothermal-reaction driving force, favoring the formation of a thicker and more compact Mg(OH)₂ coating layer. Such a protective coating layer together with the annealed substrate with fewer crystal defects effectively retards the corrosion degradation and preserves the mechanical integrity afterwards. Meanwhile, the modified heterogeneous substrate microstructure results in the observed superior strength-ductility synergy. The proposed processing route and the resulted comprehensive properties should be applicable to other magnesium alloys as well.