Additive manufacturing (AM) of magnesium alloys is under intense research activity. Practical engineering applications demand the development of parts with adequate corrosion resistance for their safe use. It is imperative to understand the corrosion mechanisms of AM-processed Mg alloys, their correlation with processing parameters, and microstructural aspects. The present review explores this topic. A thorough assessment of the current literature on the AM methods of Mg alloys was undertaken, focusing on the main corrosion mechanisms, and their correlation with the microstructure, process defects, post-processing operations, and alloy composition. The opportunities to enhance the knowledge in this field are discussed.