This study reports a “high temperature fast annealing” approach to tailor the microstructure of ZnMg–Zn bilayer coatings through a diffusion-driven phase transformation and to improve the adhesion strength and corrosion resistance, simultaneously. Selection of the appropriate annealing condition, 250 °C for 3 min, promotes the formation of MgZn2 on the topmost surface of the coating and Mg2Zn11 at the interface of ZnMg/Zn. This results to an increase of the adhesion strength from 65 MPa in the as-deposited condition to 82 MPa after annealing as well as a reduction in the corrosion current density from 0.91 to 0.52 μA/cm2, indicating enhanced corrosion resistance. The diffusion of the elements at high temperatures is also modeled to predict the stability region of phases during the annealing treatment. An excellent correlation is obtained between simulation and the experimental results.