The growing demands of material longevity in marine environments necessitate the development of highly efficient, low-cost and durable corrosion protective coatings. Although magnesium alloys are widely used in the automotive and aerospace industries, severe corrosion issues still hinder their long-term service in naval architecture. In present work, an epoxy composite coating containing sericite nanosheets is prepared on the AZ31B Mg alloy by one-step electrophoretic deposition method to improve corrosion resistance. Due to the PEI modification, positively-charged sericite nanosheets can be highly orientated in an epoxy coating under the influence of an electric field. The sericite-incorporated epoxy coating prepared in the emulsion with 4 wt.% sericite exhibits the highest corrosion resistance in 3.5 wt.% NaCl solution, as manifested by electrochemical corrosion and long-term immersion tests. The highly-orientated sericite nanosheets in epoxy coating provide excellent barrier effect against corrosive media, thereby significantly improving the long-term anti-corrosion performance of the epoxy coating. This work provides new insight toward the design of lamellar filler/epoxy coatings with superior anticorrosion performance and shows promise in the corrosion protection of magnesium alloys.