High velocity arc spraying (HVAS) process was used to deposit Al–Ni–Y–Co amorphous and nanocrystalline composite coating on AZ91 magnesium alloy substrate. The microstructure of the coating was characterized using X-ray diffraction (XRD), scanning electron microscopy (SEM) equipped with energy dispersive spectrometer (EDS) and transmission electron microscopy (TEM). The results show that the coating with thickness of 500 µm presents a dense layered structure with low porosity (1.8%). The coating consists of amorphous, nanocrystalline, and crystalline phases. The microhardness was measured by a microhardness tester. The average values of Vickers hardness for the Al–Ni–Y–Co coating, pure Al coating and AZ91 alloys are about HV0.1 310, HV0.1 70, and HV0.1 60, respectively. The electrochemical corrosion resistance of the coating in 5 wt% NaCl aqueous solution was also investigated, and the results showed that the Al–Ni–Y–Co coating exhibits better corrosion resistance than pure Al coating and AZ91 magnesium alloy.