Plasma electrolytic oxidation (PEO) is a promising and environmentally friendly surface treatment based on electrolytic conversion that forms a protective ceramic oxide coating on light alloys. The PEO coating provides excellent corrosion and wear resistance to the substrate and, as such, is being considered for wider industrial applications on Mg alloys, which are commonly used in aerospace and automotive industries. Several studies have been conducted on the PEO process of conventional Mg alloys, such as AZ and AM series alloys, but to date, little has been reported on rare earth (RE) element containing Mg alloys. In this study, RE elements containing E21 and WE43 Mg alloys were coated using a laboratory scale PEO system. In order to enhance the frictional properties, the surface of PEO coatings was post-treated with MoS2 lubricant. Test results indicated that the PEO coating significantly enhanced the wear resistance of Mg alloys. Further improvement in wear resistance was achieved by the lubricant top layer.