In the present work, the surface of a biodegradable Mg alloy was modified to create porous diatomite biocoatings using the method of micro-arc oxidation. The coatings were applied at process voltages in the range of 350–500 V. We have studied the influence of the addition of ZrO2microparticles on the structure and properties of diatomite-based protective coatings for Mg implants. The structure and properties of the resulting coatings were examined using a number of research methods. It was found that the coatings have a porous structure and contain ZrO2particles. The coatings were mostly characterized by pores less than 1 μm in size. However, as the voltage of the MAO process increases, the number of larger pores (5–10 μm in size) also increases. However, the porosity of the coatings varied insignificantly and amounted to 5 ± 1%. It has been revealed that the incorporation of ZrO2particles substantially affects the properties of diatomite-based coatings. The adhesive strength of the coatings has increased by approximately 30%, and the corrosion resistance has increased by two orders of magnitude compared to the coatings without zirconia particles.