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Magnesium has been a focal point of significant exploration in the biomedical engineering domain for many years due to its exceptional attributes, encompassing impressive specific strength, low density, excellent damping abilities, biodegradability, and the sought-after quality of biocompatibility. The primary drawback associated with magnesium-based implants is their susceptibility to corrosion and wear in physiological environments, which represents a significant limitation. Research findings have established that plasma electrolytic oxidation (PEO) induces substantial modifications in the surface characteristics and corrosion behavior of magnesium and its alloy counterparts. By subjecting the surface to high voltages, a porous ceramic coating is formed, resulting in not only altered surface properties and corrosion resistance, but also enhanced wear resistance. However, a drawback of the PEO process is that excessive pore formation and porosity within the shell could potentially undermine the coating’s corrosion and wear resistances. Altering the electrolyte conditions by introducing micro- and nano-particles can serve as a valuable approach to decrease coating porosity and enhance their ultimate characteristics. This paper evaluates the particle adhesion, composition, corrosion, and wear performances of particle-incorporated coatings applied to magnesium alloys through the PEO method.