In this study, AZ91 magnesium alloy was effectively coated with a superhydrophobic Ni–B/graphene oxide (GO) coating via electroless plating and surface modification. Scanning electron microscopy, energy dispersion spectrum, X-ray powder diffraction, and X-ray photoelectron spectroscopy analysis were employed to describe the development of Ni–B/GO coatings. The results show that the micro–nano rough structures of the superhydrophobic coating were owing to the synergistic action of GO and sodium dodecyl sulphate and their respective effects on the coating. It was also found that the nanoscale GO particle wrapped around the underdeveloped nickel grains. Also, the composition and structure of the typical superhydrophobic coating cross-section revealed the growth of the rough structures. Furthermore, the superhydrophobic coating with a water contact angle of up to 161.6° had an amorphous structure. The micro–nano coating therefore provides a novel viewpoint for preparing superhydrophobic coating on magnesium alloy.