A protective zinc-aluminum spray coating and a post heat treatment was carried out onto AZ91D magnesium alloy. The effect of post heat treatment on the interfacial characteristics, corrosion behaviors, micro-hardness, and thermal shock resistance of the zinc-aluminum coating were evaluated in this paper. It was found that a dense inter-coating formed at the Zn/Mg substrate interface followed by the post heat treatment. The results of EDS analysis indicated that the diffusion took place among Mg, Al and Zn atoms. The Zn-Al deposited coating with heat treatment had much more corrosion resistant and higher resistant to thermal shock. It was harder than as-received AZ91D Mg alloy.