A self-lubricating coating is a kind of coating formed on the surface of the material by various processes that can self-replenish lubricating substances during the friction and wear process. This paper presents a comprehensive review of the processes and properties of self-lubricating ceramic coatings developed through Micro-arc Oxidation (MAO) on light alloys, including aluminum, magnesium, and titanium. Three technical approaches for the preparation of self-lubricating coatings via MAO are recapitulated. The structures and properties of the self-lubricating coatings prepared by each technical route are compared and analyzed, and the future development tendency of this field is also anticipated.