The strength and ductility of Mg alloys were improved through the introduction of metallic reinforcement phases. How the effect of different metal-reinforcement phases on the PEO discharge and coating growth behavior of Mg-matrix composites remains unclear. In this work, the influence of three metal-reinforcement phases (Nb, Mn, and Cu) on voltage evolution, coating morphology, coating phase composition, and corrosion resistance was investigated. The results indicate that Nb-reinforcement undergoes continuous spark discharges, resulting in the formation of a “volcano-like” localized morphology. In contrast, Mn and Cu-reinforcements do not directly participate in PEO discharges; instead, their oxidation products form “nodule-like” protrusions that limit the voltage rise rate. These behaviors are attributed to differences in the properties of the oxidation products of metal reinforcements and the Mg matrix, such as stability, Pilling–Bedworth ratio (PBR), band gap, dielectric constant, and conductivity. These characteristics influence the electrical structure of the PEO coating, thereby altering the PEO discharge and coating growth behavior of the composites. Finally, two models are proposed to describe the PEO discharge mechanisms in the two types of metal-reinforced AZ91-based composites.