ZrO2 ceramic coatings were prepared in situ on an AZ91D Mg alloy by plasma electrolytic oxidation in a K2ZrF6 solution. The phase composition and the surface morphology of the coatings were examined with X-ray diffraction and scanning electron microscopy. The thermal shock resistance of the coatings was evaluated by a thermal shock test. The corrosion resistance of the coated samples was examined by the polarizing curve method in a 3.5% NaCl solution. The prepared coating was composed of t-ZrO2 and a small amount of c-ZrO2. There were many residual discharging channels on the coating surface. The coated samples showed excellent thermal shock resistance under 500 degrees C, which improved with increasing frequency or decreasing current density or PEO time. Besides, the coating improved the corrosion resistance of AZ91D Mg alloy considerably. In the experiments, the corrosion current density of the coated samples prepared under 1000 Hz was the least, which also decreased with the current density during the PEO process.