A novel multilayer structure of metallic glass film deposited Mg alloy was designed and fabricated by combining surface mechanical attrition treatment and magnetron sputtering. The multilayer structure consists of amorphous layer and gradient structure sequentially from surface, following with the coarse grains inside. Gradient structure significantly decreases hardness mismatch between the amorphous layer and the matrix of Mg alloy. Wear resistance is increased by 2 orders for this novel multilayer structure with the simultaneous improvement of corrosion resistance.