Power mode is one of the most important factors in the plasma electrolytic oxidation (PEO) technique, which greatly influences the structure and performances of the prepared ceramic coatings. The aim of this work was to investigate effects of three kinds of power modes (constant voltage (Mode 1), constant current (Mode 2), and constant power (Mode 3)) on the structure and corrosion resistance of the PEO ceramic coatings containing Ca and P on AZ91D Mg alloy. The phase composition, morphology, and the element distribution of the coatings was studied using X-ray diffraction, scanning electron microscopy, and energy-dispersive spectroscopy, respectively. The electrochemical impedance spectrum was measured to evaluate the structure and the corrosion resistance. The polarizing curves were measured to evaluate the corrosion resistance. The results show that the coatings are of porous structure and mainly composed of MgO. The thickness and surface roughness of three kinds of coatings abide by the following sequences: Mode 1 > Mode 2 > Mode 3. By comparison, “equivalent circuit” mode Rs{Q1[R1(Q2R2)]} is the most proper to reflect the structure of such coatings, including the surface roughness, the outer layer pore structure, and the inner layer structure. The coatings prepared under Mode 1 are of maximum thickness and high density, and therefore have the best general corrosion resistance. And the coatings prepared under Mode 3 are of the smallest surface roughness and higher density, which leads to the best pitting corrosion resistance.