Microarc oxidation (MAO) is a common surface treatment technology for Mg alloys. The MAO layer, however, often fails to provide long-term protection due to its inherent porosity. Current interests are mostly focused on strengthening the corrosion resistance by combining MAO with other film techniques. In this work, we developed a smart protective system characteristic of superhydrophobicity and active self-healing capability on Mg alloy by integrating MAO and electro-assisted sol–gel deposition. The porous MAO precoating could work as both a “shield” and a “reservoir”, respectively, to gain enhanced impedance and sufficient inhibitor loading. The top silica skeletons were responsible for surface superhydrophobicity, used for blocking electrolyte invasion and avoiding premature inhibitor leaching. Using this new system, a highly enhanced corrosion barrier relative to pristine MAO or single superhydrophobic surface was acquired. Furthermore, the self-healing effect of embedded inhibitor was underpinned by in situ scanning vibrating electrode technology. It is expected that the MAO-based duplex coating would further boost the development of functional surfaces for Mg alloy protection.