This study considers the regularities in the formation of amorphous–crystalline coatings with zinc oxide and wollastonite particles via micro-arc oxidation (MAO) on metal substrates made from a Mg-0.8 wt.% Ca alloy. The combination of components with increased antibacterial and osteogenic properties made it possible to obtain a unique bioactive and corrosion-resistant coating that slowed down the bioresorption of a magnesium implant and stimulated the processes of osteointegration. The coating was examined using various methods, including scanning and transmission electron microscopy, X-ray crystallography, scratch testing, energy-dispersive X-ray spectroscopy, and potentiodynamic polarization testing. As a result of plasma-chemical interactions between electrolyte components and the magnesium substrate, a porous amorphous–crystalline coating comprising wollastonite (CaSiO3), zinc oxide (ZnO), forsterite (Mg2SiO4), and periclase (MgO) was formed at varying voltages (350–500 V) during the MAO process. The protective properties of the coating were exceptional, as evidenced by the mass loss values of the coated samples (1.4–2.3%) in 0.9% NaCl solution, which were significantly lower than the mass loss of the uncoated alloy (8.9%). The coating synthesized at a voltage of 500 V was characterized by a maximum zinc content of 8 at.%, which was responsible for the highest antibacterial activity against Staphylococcus aureus (99.1%).