The corrosion resistance of AZ31, AZ80 and AZ91D Mg-Al alloys with Al-11Si thermal spray coatings was evaluated by electrochemical and gravimetric measurements in 3.5 wt% NaCl solution. The changes in the morphology and corrosion behaviour of the Al-11Si coatings induced by a cold-pressing post-treatment under 32 MPa were also examined. The as-sprayed Al-11Si coatings revealed high degree of porosity and poor corrosion protection, which resulted in galvanic acceleration of the corrosion of the magnesium substrates. The application of a cold-pressing post-treatment produced more compact Al-11Si coatings with better bonding at the substrate/coating interface and slightly higher corrosion resistance. However, interconnected pores remained in the cold-pressed coatings due to the low plasticity of the Al-11Si powder and galvanic corrosion of the substrate was observed after immersion in 3.5 wt% NaCl for 10 days.