In this paper, the corrosion behavior and mechanism of hot-dip Zn–Al–Mg steel sheets in simulated acid rain atmosphere were studied by using the cyclic corrosion acceleration test method in NaHSO3 solution. The corrosion kinetics of the samples were mainly studied by the weight loss method. The components of corrosion products were characterized by X-ray diffraction (XRD) and energy dispersive spectroscopy (EDS). The surface morphology of the samples was observed by Scanning electron microscope (SEM) and 3D laser confocal microscope. The protective properties of the coating on the surface of the samples were characterized by electrochemical impedance spectroscopy (EIS) measurements. Combined with these characterization methods, the corrosion mechanism of hot-dip Zn–Al–Mg steel sheets in simulated acid rain atmospheric environment was clarified. In a simulated acid rain atmospheric environment, the corrosion rate is a decelerating process, but the corrosion significantly accelerated after 104 days, and obvious shedding and thinning of the sample occurred after 120 days. The main corrosion products consist of Al2O3, Al2SO4(OH)4·5H2O, Zn4SO4(OH)6·4H2O, and soluble products ZnSO4·xH2O and Na2ZnSO4·4H2O. In a simulated acid rain atmospheric environment, hot-dip galvanized aluminum-magnesium steel forms a relatively compact and continuous layer of corrosion products on the corroded surface, which has a certain hindrance to NaHSO3 solution medium, inhibiting the development of corrosion. However, in the later stages of the test, due to the corrosion product layer becomes loose, the coating has obvious shedding and thinning, which weakens the protective effect of the coating, leading to an increase in the late corrosion rate and further corrosion.