To regulate the degradation rate and improve the surface biocompatibility of the AZ31B magnesium alloy, three different coating systems were produced via plasma electrolytic oxidation (PEO): simple PEO, PEO incorporating multi-walled carbon nanotubes (PEO + CNT), and a duplex coating that included a polycaprolactone top layer (PEO + CNT/PCL). Surfaces were characterized by chemical content, roughness, topography, and wettability. Biological properties analysis included cell metabolism and adhesion. PEO ± CNT resulted in an augmented surface roughness compared with the base material (BM), while PCL deposition produced the smoothest surface. All surfaces had a contact angle below 90°. The exposure of gFib-TERT and bmMSC to culture media collected after 3 or 24 h did not affect their metabolism. A decrease in metabolic activity of 9% and 14% for bmMSC and of 14% and 29% for gFib-TERT was observed after 3 and 7 days, respectively. All cells died after 7 days of exposure to BM and after 15 days of exposure to coated surfaces. Saos-2 and gFib-TERT adhered poorly to BM, in contrast to bmMSC. All cells on PEO anchored into the pores with filopodia, exhibited tiny adhesion protrusions on PEO + CNT, and presented a web-like spreading with lamellipodia on PEO + CNT/PCL. The smooth and homogenous surface of the duplex PEO + CNT/PCL coating decreased magnesium corrosion and led to better biological functionality.