The in vivo fast degradation and poor biocompatibility are two major challenges of the magnesium alloys in the field of artificial bone materials. In this study, graphene oxide (GO) was first functionalized by chitosan (GOCS) and then immobilized on the magnesium alloy surface, finally the complex of heparin and bone morphogenetic protein 2 was incorporated on the modified surface to synergistically improve the corrosion resistance, anticoagulation, and osteogenesis. Apart from an excellent hydrophilicity after the surface modification, a sustained heparin and BMP2 release over 14 days was achieved. The corrosion resistance of the modified magnesium alloy was significantly better than that of the control according to the results of electrochemical tests. Moreover, the corrosion rate was also significantly reduced in contrast to the control. The modified magnesium alloy not only had excellent anticoagulation, but also can significantly promote osteoblast adhesion and proliferation, upregulate the expression of alkaline phosphatase and osteocalcin, and enhance mineralization. Therefore, the method of the present study can be used to simultaneously improve the corrosion resistance and biocompatibility of the magnesium alloys targeted for the orthopedic applications.