Magnesium hydroxide (Mg(OH)2), magnesium fluoride (MgF2), and hydroxyapatite (HA) films on Mg are widely studied owing to their easy preparation and favorable corrosion protection. Nevertheless, the most suitable film with the best performance for biomedical applications between the three films remains unknown. Therefore, the performance of the three coatings from in vitro to in vivo must be systematically investigated. In this study, Mg(OH)2, MgF2, and HA films were fabricated on pure Mg. Electrochemical analysis and the hydrogen evolution test suggested that the HA film showed the best in vitro corrosion resistance, followed by MgF2 and Mg(OH)2 films. In vitro cell culture indicated that the extract of the MgF2-coated sample was most beneficial for the osteogenic differentiation of MC3T3-E1 cells and the vascularization of human umbilical vein endothelial cells (HUVECs), which might be ascribed to the existence of the F element in the film. The result of this subcutaneous implantation showed that the HA film exhibited the best in vivo corrosion resistance and induced the lightest inflammatory response. Femoral implantation data revealed that the HA film exhibited the best osseointegration. Furthermore, the major organs and blood indicators of all of the tested rats were normal in 8 weeks. In summary, though the in vitro biological performance of the MgF2 film was the best among the three films, the HA film showed the best in vivo performance, suggesting that it is a more promising modification method for orthopedic applications.