Magnesium (Mg) alloys with high specific strength, light weight, and natural biodegradability are promising candidates for applications in automotive industry and biodegradable medical devices. However, their wide employment is hindered by their rapid corrosion behavior. Protective coatings provide a potential approach to extending the service period, but damage to these coatings often leads to local corrosion and even premature failure. To address this issue, self-healing coatings have been developed for providing long-term and reliable protection, even in the presence of defects. This paper summarizes recent progress in self-healing coatings on Mg alloys, with a focus on their uni- and multi-stimuli responsive mechanisms. A typical self-healing coating is composed of a physical layer, inhibitors, and inhibitor containers. Herein, the loading and release of inhibitors are crucial for the design of self-healing coatings. On the one hand, inhibitors can be directly doped/filled into the protective layer and released in response to environmental changes and coating degradation. On the other hand, inhibitors may be encapsulated into micro/nano-containers and released upon being triggered by ions, pH, light, heat, potential and moisture. Additionally, this review presents advanced characterization techniques and systematic evaluation methods for assessing self-healing functionality. Ultimately, the emerging challenges and research priorities in the development of self-healing coatings for Mg alloys are comprehensively discussed.