Triethanolamine (TEA)/graphene oxide (GO) composite coatings were prepared by electrodeposition on magnesium alloy AZ91. The morphology, structure, and corrosion behaviors of the composite coatings for Mg alloy in the 3.5 wt % NaCI solution were studied by scanning electron microscopy, X-ray diffraction spectroscopy, X-ray photoelectron spectroscopy, Raman spectroscopy, electrochemical tests, immersion experiments, and quantum chemical calculation. The results indicated that the TEA/GO composite coatings were distributed evenly on the Mg alloy substrate. The electrochemical tests showed that the composite coating had lower corrosion current density and higher film resistance. The corrosion process of the composite coatings for Mg alloy in the 3.5 wt % NaCl solution could be separated into three processes, and the physical models were set up. The quantum chemical calculation indicated that TEA and GO could be adsorbed on the Mg alloy surface to exhibit a good barrier between the substrate and corrosive medium to prevent the aggressive ions from the substrate surface.