In this study, the Zn-Mg alloy coatings with various Mg contents were deposited using an unbalanced magnetron sputtering process. Their surface microstructure, chemical composition, phase, and corrosion property were investigated. The microstructure of the Zn-Mg coatings changed from porous microstructure to dense one with increasing Mg contents in the coatings. As Mg contents in coatings increased, intermetallic phases such as $Mg_2Zn_{11}$ and $MgZn_2$ were detected from X-ray diffraction (XRD) results. The corrosion resistance of the Zn-Mg alloy coatings was investigated quantitatively using electrochemical impedance spectroscopy (EIS) measurement with 3.5% NaCl solution. The results of EIS measurement showed that the charge transfer resistance and the phase angle of the Zn-Mg alloy coatings were increased from $162.1{Omega}{cdot}cm^2$ to $558.8{Omega}{cdot}cm^2$ and from about $40^{circ}$ to $60^{circ}$ with increasing Mg contents from 5.1 wt.% to 15.5 wt.% in the coatings. These results demonstrate that the Zn-Mg coatings with increasing Mg contents showed an enhanced corrosion resistance.