Magnesium is a revolutionary biomaterial for orthopedic implants, owing to its eminent mechanical properties and biocompatibility. However, its uncontrolled degradation rate remains a severe challenge for its potential applications. In this study, we developed a self-healing micro arc oxidation (MAO) and dicalcium phosphate dihydrate (DCPD) double-passivated coating on a magnesium membrane (Mg-MAO/DCPD) and investigated its potential for bone-defect healing. The Mg-MAO/DCPD membrane possessed a feasible self-repairing ability and good cytocompatibility. In vitro degradation experiments showed that the Mg contents on the coating surface were 0.3, 3.8, 4.1, 6.1, and 7.9% when the degradation times were 0, 1, 2, 3, and 4 weeks, respectively, exhibiting available corrosion resistance. The slow and sustained release of Mg during the degradation process activated extracellular matrix proteins for bone regeneration, accelerating osteogenic differentiation of human bone marrow mesenchymal stem cells (hBMSCs). The extract solutions of Mg-MAO/DCPD considerably promoted the activation of the Wnt and PI3K/AKT signaling pathways. Furthermore, the evaluation of the rat skull defect model manifested the outstanding bone-healing efficiency of the Mg-MAO/DCPD membrane. Taken together, the Mg-MAO/DCPD membrane demonstrates an optimized degradation rate and excellent bioactivity and is believed to have great application prospects in bone tissue engineering.