In this paper, a multi-functional composite coating with low friction coefficient, high wear resistance and excellent tribocorrosion resistance is fabricated on AZ31 Mg alloys by micro-arc oxidation and spray-coating methods. The microstructure, and composition of the coating are characterized by SEM, EDS, XRD, and FT-IR. Potentiodynamic polarization and EIS tests are conducted to evaluate the corrosion resistance of the composite coating. The tribocorrosion property is also studied using pin-on-disk tribometer in 3.5 wt.% NaCl solution. It is found that the composite coating possesses better long-term corrosion resistance than the single MAO coating. The tribocorrosion tests prove that the composite coating exhibits much better wear and tribocorrosion resistance than the single MAO coating and can protect the substrate from corrosion under a sliding condition.