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The AZ31 magnesium alloy is an attractive lightweight metallic material, but its low corrosion resistance and wear resistance significantly limit its widespread application in fields such as aerospace, the automotive industry, and mechanical engineering. Moreover, most coating systems currently cannot restore their original functions and dimensions after localized damage. Based on this, this study combined cold spray (CS), micro-arc oxidation (MAO), and magnetron sputtering (MS) to develop a high-performance and repairable composite modification strategy. First, a 5056 aluminum alloy coating was prepared on AZ31 via CS, followed by the growth of a hard alumina (Al2O3) coating via MAO and a diamond-like carbon (DLC) coating via MS on the 5056 aluminum alloy surface. The microstructure, phase composition, hardness, tribological properties, and electrochemical corrosion behavior of the coatings were evaluated using scanning electron microscopy/energy-dispersive X-ray spectroscopy (SEM/EDS), X-ray diffraction (XRD), Vickers hardness testing, ball-on-disk dry sliding wear testing, and potentiodynamic polarization testing in a 3.5% sodium chloride solution. The CS 5056 aluminum alloy coating reduced the corrosion current density of AZ31 from 4.098 × 10−5 A/cm2 to 2.714 × 10−6 A/cm2. The MAO alumina coating increased the hardness of AZ31 from 68.60 HV0.05 to 1614.00 HV0.05 and decreased the wear rate from 1.703 × 106 μm3/(N·m) to 2.038 × 103 μm3/(N·m). The DLC coating further reduced the average coefficient of friction of the alumina coating from 0.48 to 0.27, decreased the wear rate to 6.979 × 102 μm3/(N·m), and lowered the corrosion current density from 3.020 × 10−6 A/cm2 to 8.860 × 10−9 A/cm2. This indicates that the three-phase composite coating achieves synergistic improvements in the corrosion and wear resistance of AZ31 through complementary advantages. Additionally, the thick CS aluminum alloy underlayer provides potential repairability, enabling the restoration of function and dimensions after damage without compromising the magnesium substrate. Overall, the proposed 5056Al/Al2O3/DLC composite coating strategy offers a reliable protective approach for AZ31 components and is expected to further expand their application fields.