Recently magnesium and its alloys have been proposed as a promising next generation orthopedic implant material, whereas the poor corrosion behavior, potential cytotoxicity, and the lack of efficient drug delivery system have limited its further clinical application, especially for the local treatment of infections or musculoskeletal disorders and diseases. In this study, we designed and developed a multifunctional bilayer composite coating of poly(lactic acid)/brushite with high interfacial bonding strength on a Mg-Nd-Zn-Zr alloy, aiming to improve the biocorrosion resistance and biocompatibility of the magnesium-based substrate, as well as to further incorporate the biofunctionality of localized drug delivery. The composite coating consisted of an inner layer of poly(lactic acid) serving as a drug carrier and an outer layer composed of brushite generated through chemical solution deposition, where a facile pretreatment of UV irradiation was applied to the poly(lactic acid) coating to facilitate the heterogeneous nucleation of brushite. The in vitro degradation results of electrochemical measurements and immersion tests indicated a considerable reduction of magnesium degradation provided the composite coating. A systematic investigation of cellular response with cell viability, adhesion, and ALP assays confirmed the coated Mg alloy induced no toxicity to MC3T3-E1 osteoblastic cells but rather fostered cell attachment and proliferation and promoted osteogenic differentiation, revealing excellent biosafety and biocompatibility and enhanced osteoinductive potential. An in vitro drug release profile of paclitaxel from the composite coating was monitored with UV-vis spectroscopy, showing an alleviated initial burst release and a sustained and controlled release feature of the drug-loaded composite coating. These findings suggested that the bilayer poly(lactic acid)/brushite coating provided effective protection for Mg alloy, greatly enhanced cytocompatibility and bioactivity, and, moreover, possessed local drug delivery capability; hence magnesium alloy with poly(lactic acid)/brushite coating presents great potential in orthopedic clinical applications, especially for localized bone therapy.