<p>Mg–Li alloys, as lightweight metallic materials, exhibit significant potential for applications in aerospace engineering, automotive manufacturing, and biomedical devices. However, the inherently limited corrosion resistance of these alloys has historically impeded their adoption in engineering applications and hindered their commercialization. This study presents a systematic review of recent advancements in corrosion-resistant coatings for Mg–Li alloys, with particular emphasis on the fabrication methodologies and underlying corrosion protection mechanisms associated with both single-step and multi-step coating processes. All coating methodologies demonstrate substantial synergistic complementarity in practical applications. Single-step coating techniques are particularly advantageous from an engineering perspective, owing to their operational simplicity, process reproducibility, and cost-effectiveness. In contrast, multi-step coating strategies provide unparalleled long-term protection—attributable to their compositional or structural gradient design, multiple functional barrier layers, and superior interfacial adhesion strength. This study also identifies key challenges currently impeding the corrosion protection of Mg–Li alloys, including insufficient adaptability to complex, coupled environmental conditions and the absence of robust, industrially scalable production processes. These insights offer systematic and foundational support for the ongoing optimization and innovative advancement of corrosion protection strategies for Mg–Li alloys.</p>