Recently, superior corrosion properties of zinc coatings alloyed with magnesium have been reported. Corrosion behaviour of model zinc–magnesium alloys was studied to understand better the protective mechanism of magnesium in zinc. Alloys containing from 1 to 32 wt.% magnesium, pure zinc, and pure magnesium were contaminated with sodium chloride and exposed to humid air for 28 days. Composition of corrosion products was analyzed using infrared spectroscopy (FTIR), ion chromatography (IC), and Auger electron spectroscopy (AES). The exposure tests were completed with scanning Kelvin probe (SKP) and electrochemical measurements. Weight loss of ZnMg alloys with 1–16 wt.% magnesium was lower than that of pure zinc. Up to 10-fold drop in weight loss was found for materials with 4–8 wt.% Mg in the structure. The improved corrosion stability of ZnMg alloys was connected to the presence of an Mg-based film adjacent to the metal surface. It ensured stable passivity in chloride environment and limited the efficiency of oxygen reduction.