A duplex coating (called MAOB coating) was fabricated on AZ91D Mg alloy by combining the process of micro-arc oxidation (MAO) with baking coating (B-coating). The structure, composition, corrosion resistance, and tribological behaviour of the coatings were investigated using scanning electron microscopy (SEM), energy dispersive spectroscopy (EDS), electrochemical and long-term immersion test, and ball-on-disc friction test. The results show that a dense 92 μm thick B-coating was tightly deposited onto the MAO-coated Mg alloy and exhibited a good mechanical interlock along the rough interface. Compared with the MAO-coated sample, the corrosion current density of the MAOB-coated Mg alloy decreased by two or three orders of magnitude and no corrosion phenomenon was observed during a long-term immersion test of about 500 h (severe corrosion pits were found for MAO-treated samples after about 168 h of immersion). The frictional coefficient values of the MAOB coating were similar to those of the MAO coating using dry sliding tests, while the B-coating on the MAO-coated surface significantly improved the wear resistance of the AZ91D Mg alloy. All of these results indicate that a B-coating can be used to further protect Mg alloys from corrosion and wear by providing a thick, dense barrier.