The ability of Zn–Mg coatings (with magnesium content between 5.8 and 15.5 wt.%) to protect steel sheets has been evaluated with local electrochemical techniques (scanning vibrating electrode technique, microcapillary electrochemical cell) and rotating disk electrode, and compared with the corrosion protection afforded by a pure zinc coating. From immersion tests of coated steel cut-edges, it is observed that alloying zinc with magnesium leads to a decrease of the galvanic current between the coating and the steel surface, and to an improvement of the steel corrosion resistance after a drying period, due to the presence of magnesium in the corrosion products.