The corrosion fatigue behavior of epoxy-coated Mg-3Al-1Zn alloy in gear oil was investigated. The corrosion and the fracture surfaces after fatigue test were analyzed by scanning electron microscopy(SEM) and the corrosion compositions were measured by energy-dispersive spectrometry(EDS). The fatigue properties and the crack initiation mechanisms of the specimens before and after epoxy coating treatment were discussed. The results indicate that the fatigue limit after epoxy coating treatment in gear oil is higher than that of the uncoated specimens. The epoxy coating is an excellent way to prevent direct contact between the Mg-3Al-1Zn alloy and surrounding environments. The mechanical properties of the epoxy coating layer are lower than that of magnesium alloy, which is the main reason for the fatigue crack initiation on the epoxy coating layer. In addition, the gear oil lubrication could lead to the flaking off of the epoxy-coated layer.