Biodegradable magnesium (Mg) alloys have drawn considerable attention for use in orthopedic implants, but their antibacterial activity and corrosion resistance still require improvement. In the present work, functional Ta2O5 (tantalum pentoxide) compact layers and PCL/MgO-Ag (poly (ε-caprolactone)/magnesium oxide-silver) nanofiber porous layers were subsequently deposited on Mg alloys via reactive magnetron sputtering and electrospinning, respectively, to improve anticorrosion and antibacterial performance. Sputter coating of the Ta2O5 resulted in a thick layer (∼1 μm) with an amorphous structure and high adhesive strength. The nanostructure exhibited bubble-like patterns with no obvious nano-cracks, nano-porosities, or pinholes. The electrospun PCL/MgO-Ag nanofiber coating was porous, smooth, and plain with no obvious beads. In vitro corrosion tests demonstrated the PCL/MgO-Ag nanofiber-coated alloy had greater corrosion resistance than a Ta2O5 sputter-coated alloy or uncoated Mg alloy. The additional electrospun PCL/MgO-Ag nanofiber coating also had greater antibacterial behavior toward Gram-negative (Escherichia coli) and Gram-positive (Staphylococcus aureus) bacteria than the Ta2O5-coated or uncoated alloy specimens. Increasing the MgO-Ag concentration of the nanofibers from 1 to 3 wt% increased antibacterial activity. The combination of Ta2O5 and PCL/MgO-Ag nanofiber coatings on Mg alloys may therefore have potential applications for reducing bone infection as related to orthopedic implants for bone repair.