The need of corrosion protection for metals in aggressive environments is an issue of prime importance for widespread applications. In this article, we demonstrate the properties of oxide coatings prepared in molybdate/silicate and aluminate/silicate composite electrolytes via plasma electrolytic oxidation (PEO) on Mg–Li alloy. To understand the nature of the two coatings, the surface and cross-sectional morphologies, phase composition, and chemical composition of the coatings are studied by scanning electron microscopy (SEM), electron dispersion X-ray spectroscopy (EDX), X-ray diffraction (XRD), and X-ray photoelectron spectroscopy (XPS). The corrosion resistances of oxide films are evaluated using potentiodynamic polarization and electrochemical impedance spectroscopy (EIS) in 3.5 wt% NaCl solution. In contrast to Mg–Li alloy substrate, the anti-corrosion properties of the two coated alloys are both remarkably improved. Furthermore, molybdate instead of aluminate as an additive in the electrolyte brings forth a denser and compact coating, which can provide longer corrosion protection for Mg–Li alloys. Thereby a surface protection method based on PEO in molybdate/silicate electrolyte is a promising means for producing a dark brown ceramic coating on the surface of Mg–Li alloys with the capability to corrosion protection.