Ultra-high strength steel (UHSS) and magnesium (Mg) alloy have found their importance in response to automotive strategy of light weighting. UHSS to be metal-formed by hot stamping usually has a hot-dipped aluminum-silicon alloy layer on its surface to prevent the high temperature scaling during the hot stamping and corrosion during applications. In this paper, a plasma electrolytic oxidation (PEO) process was used to produce ceramic oxide coatings on aluminized UHSS and Mg with intention to further improve their corrosion resistances. A potentiodynamic polarization corrosion test was employed to evaluate general corrosion properties of the individual alloys. Galvanic corrosion of the aluminized UHSS and magnesium alloy coupling with and without PEO coatings was studied by a zero resistance ammeter (ZRA) test. It was found that the heating-cooling process simulating the hot stamping would reduce anti-corrosion properties of aluminized UHSS due to the outward iron diffusion. The PEO coating could reduce corrosion current and increase corrosion potential of aluminized UHSS. A denser PEO coating, usually produced using a bipolar current processing mode and thus showing a higher polarization corrosion resistance, was not always good for the galvanic corrosion prevention of the steel and Mg coupling. The corrosion behaviors could be explained based on surface area ratios and corrosion potential gaps (corrosion driving forces) of anode (the Mg sample) vs. cathode (the steel sample) altered by the difference of current modes in PEO coating processes.