Oxide layers were formed by an environmentally friendly plasma electrolytic oxidation (PEO) process on AZ91 Mg alloy. PEO treatment also resulted in strong adhesion between the oxide layer and the substrate. The influence of the KF electrolytic solution and the structure, composition, microstructure, and micro-hardness properties of the oxide layer were investigated. It was found that the addition of KF instead of KOH to the Na2SiO3 electrolytic solution increased the electrical conductivity. The oxide layers were mainly composed of MgO and Mg2SiO4 phases. The oxide layers exhibited solidification particles and pancake-shaped oxide melting. The pore size and surface roughness of the oxide layer decreased considerably with an increase in the concentration of KF, while densification of the oxide layers increased. It is shown that the addition of KF to the basis electrolyte resulted in fabricating of an oxide layer with higher surface hardness and smoother surface roughness on Mg alloys by the PEO process. The uniform thickness of the oxide layer formed on the Mg alloy substrates was largely determined by the electrolytic solution with KF, which suggests that the composition of the electrolytic solution is one of the key factors controlling the uniform thickness of the oxide layer.