To enhance the corrosion resistance of Mg-Li alloy, a composite coating system integrating plasma electrolytic oxidation (PEO) with solgel sealing treatment is developed. Two functionalized sepiolite microcontainers (sepiolite-Ce and sepiolite-BA) are constructed by loading cerium ions (Ce³⁺) via ion exchange and encapsulating barbituric acid (BA) through low-pressure impregnation. The microcontainers are subsequently incorporated into the coating surface through controlled sol-gel deposition process. UV-Vis and ICP-OES analyses reveal that both functionalized sepiolite microcontainers exhibited pH-responsive release characteristics under alkaline conditions. Electrochemical impedance spectroscopy (EIS) tests demonstrate that the inhibitor-containing composite coating has excellent long-term corrosion resistance and self-healing performance. After 240 h of immersion in a 0.5 wt.% NaCl solution, the low-frequency impedance modulus of the composite coating is four orders of magnitude higher than that of the pristine coating.