Pure Mg, binary Mg-5.6wr%Al, Mg-1.0wt%Si and Mg-7.5wt%Zn alloys were coated by plasma electrolytic oxidation (PEO) method, and their wear properties were investigated and discussed based on surface roughness, thickness and component of coatings. All coatings showed porous layer with some volcano top-like pores on the surface and the non-uniform thickness. The coatings on Mg-Al, Mg-Si and Mg-Zn alloys were composed of primarily MgO and Al2O3, SiO2, ZnO, respectively. The coating layer on Mg-Si alloy was thicker than that of Mg-Al and Mg-Zn alloys, while it was less rough. The wear resistance of pure Mg and Mg alloys was improved by PEO method and the coated Mg alloys showed better wear resistance compared to the coated pure Mg. In particular, the coated Mg-Zn alloy revealed the best wear resistance, while the coated Mg-Si alloy had poor wear resistance despite much thicker coating layer.