Commercially pure (CP) Zr coating with high microhardness (387 ± 26 HV0.025) was produced on CP-Al coated Mg alloy by a high pressure cold spray (HPCS) system. Substantial densification of Al layers, beneath deposited Zr coating, was observed because of shot-peening influence by Zr particles. The electrochemical impedance spectroscopy after 24 h of immersion in 3.5 wt% NaCl electrolyte revealed highest charge transfer resistance (Rct), polarization resistance (Rpol), and corrosion resistance (|Z|f=0.01Hz) for the Zr/Al coated Mg alloy. Also, wear rate for the Zr/Al coating was lowest which could be attributed to its higher hardness caused by smaller crystallite size and higher dislocation density.