Substrates have major effects on coating properties. In this paper, pure magnesium, AZ91HP and Mg-Li were separately anodized in a neutral anodizing solution containing hydrofluoric acid, phosphate acid and borate acid. The coating properties such as surface morphology, thickness and compositions were separately observed and detected. The behavior of voltage with time indicated that reaching the same final voltage under the same electric parameters, anodizing time for AZ91HP was the shortest and Mg-Li the longest. The uniformity of anodic coatings formed on AZ91HP was the best and Mg-Li the worst. Analysis by EDX, the phosphorus content of anodic coatings formed on Mg-Li was the highest and that on AZ91HP the lowest. Alloying elements of aluminum and lithium slightly decreased and considerably increased the coating thickness, respectively. The effects of lithium and aluminum on coating properties can be explained by different moving speeds of Mg2+, Al3+ and Li+ as well as Pilling-Bedweorth ratios (PBRs) of MgO/Mg, Al2O3/Al and Li2O/Li.