Coatings incorporated with Sb2O3 were obtained on AZ31B magnesium alloy during micro‐arc oxidation (MAO) by adding Sb2O3 (0, 2, 4, 6, 8 g/L) into the electrolyte. The voltage of MAO process, microstructure, element distribution, thickness, phase analysis, microhardness, adhesion, and corrosion behavior of the coatings were, respectively, investigated. The results showed that the addition of different concentrations of Sb2O3 caused the voltage variation, which resulted in the changes in microstructure, element distribution, and phase composition of coatings, and further led to the improvement of coatings properties. It was found that the addition of Sb2O3 could effectively decrease the breakdown voltage, and made the voltage of micro‐arc oxidation stage change. Moreover, the presence of Sb2O3 influenced surface morphologies of the coatings. Additionally, with the increase in Sb2O3, the microhardness of coatings was 155.2, 199.78, 277.34, 267.53, and 127.93 HV, respectively; these were higher than substrate (68.5 HV). Moreover, the addition of Sb2O3 effectively improved adhesion. As the Sb2O3 increased, the corrosion rate was 2.19 × 10−4, 9.09 × 10−5, 4.10 × 10−5, 2.52 × 10−4, and 2.96 × 10−4 mm/a, respectively, and the corrosion resistance increased first and then decreased with the increase in Sb2O3. In sum, the optimal Sb2O3 concentration was 4 g/L.