The rapid bio-corrosion of magnesium-based alloys, the formation of hydrogen gas and, consequently, the premature loss of biomechanical functions hinder their applications as biodegradable implant materials. The corrosion becomes even accelerated, when fretting wear occurs at implant junctions, as a result of repeated disruptions of the magnesium (hydr)oxide layer formed on implant surfaces. To improve the overall performance of these materials in a bio-relevant environment, especially corrosion resistance and wear resistance, in this research, plasma electrolytic oxidation (PEO) was applied to create a coating on a magnesium alloy, ZK30. The resulting gains in corrosion resistance and wear resistance were evaluated. In vitro immersion tests in Hank's solution at 37 °C showed a reduction in hydrogen release from the PEO-treated alloy. The results obtained from applying the scanning vibrating electrode technique (SVET) indicated a decreased susceptibility of the PEO-treated alloy to localized corrosion, accounting for the improved corrosion resistance. In addition, PEO was found to change the surface topography and roughness, in addition to surface chemistry, which contributed to an increased but stable coefficient of friction and a decreased material removal rate, as revealed by the tribological tests with a ball-on-plate configuration. The results indicate an enlarged opportunity of magnesium-based materials for orthopedic applications, where friction and wear are involved, by applying PEO.