Magnesium and its alloys have aroused significant attention in a wide range of applications, due to their superior dimension stability, thermal conductivity, damping capacity and high specific strength. Nevertheless, the corrosion resistance is a critical issue in the practical application of the magnesium and its alloys, thus various strategies have been introduced to prevent or impede the corrosion of magnesium. Especially, a plasma electrolytic oxidation (PEO), which forms a thick oxide layer, is considered as a promising technology to passivate the magnesium and its alloys. However, the PEO treated surface shows a great wettability to water and corrosive liquid, the corrosion resistance is not sufficient for the practical applications. In this work, we employed a self-assembled monolayer coating on PEO treated surface of magnesium alloy to hydrophobize the porous oxide layer. The hydrophobic coating enabled the porous oxide layer by PEO to retain air within irregular pores, so that the penetration of corrosive liquid toward the magnesium alloy substrate is prevented. Therefore, the hydrophobized porous oxide layer significantly improved the corrosion resistance of magnesium alloy compared to the hydrophilic porous oxide layer absorbing the corrosive liquid easily. Moreover, due to the porous and rough nature of PEO layer, the hydrophobized surface shows a high mobility of water, thus the self-cleaning property can be realized on the surface of magnesium alloy.