In this research, physically vapor deposited Mg-Zn and ZnMg-Zn bi-layered coatings were annealed at 180 °C for different annealing times to study the origin of the adhesion loss during heat treatment. In the case of Mg-Zn bi-layered coatings, it was observed that MgZn2 and Mg2Zn11 intermetallics are formed during annealing from Zn and Mg by diffusion, which results in a reduction of the thickness of the initial pure zinc interlayer. In the case of ZnMg-Zn bi-layered coating, the “interfacial adhesion strength” at the ZnMg/Zn interface was quantified by using scratch test. The novel finding is that the adhesion strength of as-deposited coatings at the interface of ZnMg/Zn is independent of the thickness of the zinc interlayer (tZn). tZn decreases gradually during annealing at 180 °C. The “adhesion performance” of the studied coatings, as tested by BMW crash adhesion test (BMW AA-M223), drops drastically when tZn is less than a threshold (~ 500 nm). The obtained results indicate that tZn plays the significant role in the adhesion performance of ZnMg-Zn bi-layered coatings.