Magnesium and its alloys demonstrate excellent features such as machinability, high strength to weight ratio, and damping capacity, which has expanded their applications to industries such as electronics, aerospace, and transportation. Magnesium has bone-like mechanical properties making it an ideal candidate for many biomedical applications. However, the high reactivity of magnesium makes it prone to corrosion attacks, even in mildly corrosive environments. So far, various coatings have been employed to protect magnesium and its alloys against corrosion. Plasma electrolytic oxidation (PEO) is a relatively new coating process that can successfully enhance the corrosion resistance of certain metals and their alloys. This process may look similar to the ordinary anodizing at the beginning but ends with ignition at higher applied potentials. The ignition property turns the oxide layer into a thick ceramic coating with good properties such as high hardness, good abrasion, and corrosion properties, as well as a strong bond to the substrate material. One of the most influential parameters in the PEO process is the chemical composition of the electrolyte. Changing the electrolyte conditions based on the presence of particles is one of the most useful strategies to reduce the porosity of the coating and enhance final properties. Graphene is a newly discovered carbon allotrope with excellent electrical properties, high thermal conductivity, and excellent mechanical properties. This article reviews the effect of graphene and graphene oxide addition on the corrosion and wear behaviors of PEO coatings on magnesium alloys. Due to the crucial role of morphology and thickness of coatings on corrosion and wear behavior, these aspects are extensively discussed in this review.