Rare earth rich magnesium alloys are used in aerospace and automotive fields because of their high specific strength and good castability. However, due to their low corrosion resistance, protective surface treatments, such as conversion coating or electroless plating are necessary, when they have to be used in humid or corrosive environments. The present study was aimed to evaluate the effect of Plasma Electrolytic Oxidation (PEO) and different surface roughness (Ra≈0.8 μm and Ra≈0.3 μm) on the rotating bending fatigue of an innovative Mg alloy, with a high content of Nd (up to 3.1 wt%) and Gd (up to 1.7 wt %). Fatigue tests revealed a 15% decrease in the fatigue strength of the PEO treated alloy (fatigue strength = 88 MPa) with respect to the bare alloy (fatigue strength = 103 MPa). The reduction of fatigue strength was mainly due to the residual tensile stresses induced by the PEO treatment. The effect of surface roughness on the bare alloy was, instead, negligible. The mechanisms of crack initiation were similar in the untreated and PEO treated alloy, with crack nucleation sites located in correspondence of large facets of the cleavage planes.