The electroless Ni–Mo–P/CNTs composite coatings were applied on AZ91D magnesium alloys, and the effects of CNTs concentration on the microstructure, micro-indentation hardness, wear and corrosion behaviors of the composite coatings were studied. Meanwhile, the mechanism of wear and corrosion resistance for coatings was investigated. The results suggested that the surface morphology of the composite coating fabricated at 0.4 g/L CNTs concentration was smooth and compact, and the maximum micro-indentation hardness and minimum friction coefficient were achieved as 1263.54 HV and 0.201, respectively. The worn surface morphologies showed that the carbon film formed by the optimal concentration of CNTs was covered on the coating surface, which acted as solid lubricant to enhance the abrasion resistance of the composite coating. Furthermore, the coating deposited with 0.4 g/L CNTs concentration had excellent corrosion resistance, which could be attributed to the fine and dense structure which prevented the intrusion of corrosive liquid.