Magnesium alloys are low in density, high in strength and non-toxic, nevertheless, their industrial application is substantially limited owing to their low electrode potential and susceptibility to corrosion. Surface and coating technology is widely used to improve their corrosion resistance. Graphene is one candidate material for anti-corrosion coatings because of its high aspect ratio, outstanding chemical resistance and good physical resistance. Its good barrier properties mean that graphene may have a wide range of applications in magnesium alloy coatings. This paper reviews (i) the potential of graphene for anti-corrosion coatings, (ii) the production methods and types of graphene anti-corrosion coatings, (iii) their properties, (iv) the protection mechanisms and (v) the future development trends of graphene-based corrosion protective coatings on magnesium alloys.