Mg and its alloys evince strong candidature for biodegradable bone implants, cardiovascular stents, and wound closing devices. However, their rapid degradation rate causes premature implant failure, constraining clinical applications. Bio-functional surface coatings have emerged as the most competent strategy to fulfill the diverse clinical requirements, besides yielding effective corrosion resistance. This article reviews the progress of biodegradable and advanced surface coatings on Mg alloys investigated in recent years, aiming to build up a comprehensive knowledge framework of coating techniques, processing parameters, performance measures in terms of corrosion resistance, adhesion strength, and biocompatibility. Recently developed conversion and deposition type surface coatings are thoroughly discussed by reporting their essential therapeutic responses like osteogenesis, angiogenesis, cytocompatibility, hemocompatibility, anti-bacterial, and controlled drug release towards in-vitro and in-vivo study models. The challenges associated with metallic, ceramic and polymeric coatings along with merits and demerits of various coatings have been illustrated. The use of multilayered hybrid coating comprising a unique combination of organic and inorganic components has been emphasized with future perspectives to obtain diverse bio-functionalities in a facile single coating system for orthopedic implant applications.