In the present study, ZnMg-Zn bilayer coatings with different Mg concentrations and layer thicknesses are deposited on steel substrates by a thermal evaporation process. Thermodynamic calculations reveal that the work of adhesion at the ZnMg/Zn interface (~1.6 J/m2) is lower than that at the Zn/Steel interface (~3 J/m2). This indicates that the ZnMg/Zn interface is inherently weaker than the interface between Zn and steel substrate. The interfacial adhesion strength quantified by the scratch test shows that the adhesion strength at the ZnMg/Zn interface decreases with increasing the Mg content and reaches 66 MPa at 16.5 wt% Mg. It is found that the presence of interfacial defects largely decreases the adhesion strength compared to a defect-free coating. Meanwhile, it is also concluded that the interfacial adhesion strength at the ZnMg/Zn interface does not depend on the thickness of Zn interlayer. The results of the present investigation show that the interfacial adhesion strength is not the only governing parameter for the adhesion performance of the ZnMg-Zn bilayer coatings in forming process, but the thickness of the layers as well as interfacial defect density also play important roles in the adhesion performance.