In this study, the effect mechanisms between the fretting wear behavior and properties of micro-arc oxidation (MAO) coatings fabricated by different anodic voltages (AVs) on AZ91 magnesium alloy were investigated. The microstructure and macroscopic mechanical properties of the MAO coatings were analyzed by various characterization means. The evolution rule of fretting wear behaviors was carried out through sliding fretting wear experiment under different test parameters. The results showed that the increase in AV increased the MAO coating surface roughness and elastic modulus. The fretting wear resistance of magnesium alloy also enhanced after treatment by MAO, and the improvement effect was positively correlated to AV. Further studies revealed that the wear mechanisms of AZ91 magnesium alloy were oxidation wear and fatigue spalling, and that of MAO coating was mixed abrasive wear and fatigue spalling.