To provide effective surface protection for magnesium (Mg) alloy, a novel Zn-Ni-ZrN/GO composite coating was fabricated on the Mg substrate through an integrated cold spraying and electrodeposition approach. The ZrN/GO binary nanocomposite was introduced into the plating system for the first time, overcoming the performance limitations of conventional single-particle doping. This system achieved a triple synergistic mechanism of “hard-phase strengthening, soft-phase lubrication, and barrier-type anti-corrosion,” while simultaneously resolving the interfacial bonding challenge between Mg alloy and coatings. The microstructure, tribological behavior, and electrochemical corrosion properties of the coating were systematically investigated using a range of analytical techniques, including SEM, TEM, XRD, EDS, XPS, potentiodynamic polarization (PDP), electrochemical impedance spectroscopy (EIS), full immersion tests and wear tests. The results revealed that the Zn-Ni-ZrN/GO coating exhibited a dense and uniform microstructure, with ZrN/GO composite materials being well-dispersed in the Zn Ni matrix, forming a synergistic strengthening structure that promoted grain refinement. Tribological analysis showed that the Zn-Ni-ZrN/GO coating exhibited significantly lower friction coefficients and wear rates with a friction coefficient of 0.13 and a wear rate of 5.2 × 10 −6 mm 3·N −1·m −1. In terms of corrosion resistance in a 3.5 wt% NaCl solution, the Zn-Ni-ZrN/GO coating exhibited the highest self-corrosion potential (Ecorr = −1.13 VSCE) and the lowest self-corrosion current density (icorr = 2.72 × 10 −6 A·cm −2). Overall, the Zn-Ni-ZrN/GO coating achieved synergistic optimization of wear and corrosion resistance through compositional design, significantly enhancing the wear and corrosion resistance of Mg alloy, and offering a new approach for the development of high-performance Zn-Ni-based protective coatings.