In this study, ZnMg-Zn bi-layered coatings with different Mg contents, a single layer ZnMg coating and a pure zinc coating are deposited on steel substrates by physical vapor deposition (PVD) process. A set of experiments and simulations are performed to study the microstructure, mechanical properties and adhesion behavior of the PVD coatings. It is found that Mg2Zn11 and MgZn2 form in the microstructure of the ZnMg top layer with increasing Mg content. MgZn2 fully covers the microstructure at 14.1 wt% Mg. Scratch tests are carried out to quantify the adhesion strength of the coatings. It is observed that ZnMg single layer coating shows poor adhesion to the steel substrate and the addition of a Zn interlayer is essential for enhancing the adhesion strength. It was found that the measured critical load (L-C) in scratch test is not a suitable criterion to evaluate the adhesion strength of ZnMg-Zn bi-layer coatings with different combination of thickness and/or mechanical properties. Instead, the Benjamin-Weaver model is modified to quantify the adhesion strength at ZnMg/Zn interface by scratch test revealing consistent results with the BMW crash adhesion test (BMW AA-M223) currently used in industry for adhesion qualification.