Bio-inspired superhydrophobic magnesium (Mg) alloy surfaces are of increasing interest in corrosion protection due to superior barrier and shielding effects. However, superhydrophobic (SHB) anti-corrosion surfaces are susceptible to damage, which limit their extensive applications. To this end, a micro/nano structure-functional molecule SHB composite coating with self-healing and active anti-corrosion dual-function properties was designed on Mg alloys substrate. The dual-function SHB composite anti-corrosion coating based on lauric acid (La) intercalated and modified hydrotalcite (La-LDH) consisted of three-layer structure, namely La-LDH powder/polydimethylsiloxane (PDMS)/La-LDH film. The anti-corrosion performance of as-prepared coatings was investigated by potentiodynamic polarization and electrochemical impedance spectroscopy (EIS). The results indicate that the SHB coating shows excellent active corrosion resistance. Moreover, we also examined the self-healing and anti-corrosion properties of SHB coating upon physical damage and explained the healing mechanism. After heat treatment, the damaged SHB coating regain its surface microstructure and corrosion protection property. This work expands new insights for the wide application of Mg alloys and the research in the field of metal protection.