This article concerned with the formation mechanism of the micro-arc oxidization(MAO) coating on magnesium alloys. The micro-arc oxidation ceramic coating on AZ91 magnesium alloy was prepared in a silicate alkaline solution (Na2SiO3:5-30g/l, NaOH: 1-5g/l, KF: 5-8g/l, Na3C6H5O7: 0.5-2g/l, EDTA: 0.5-2g/l). The experiments were carried out in AC current galvanostatic mode with a current density of 20-50A/dm2. The microstructure of the MAO coating was characterized by means of transmission electron microscopy(TEM). Microcrystallite and/or nanocrystallite were found in the MAO coatings, the size of the former was about 50-200nm and the latter was about 20-50nm. Cellular structure was observed in the coatings, which was composed of a lot of micro/nano grains. The grains grew preferentially in some directions during the MAO process, and the cellular structure is formed by the grains growing in a laminar way. The cellular structures also grew and aggregated by laminar way to form the whole MAO coatings.