In this study, novel and functional Mg/O/PCL/ZnO (magnesium/anodic film/poly(ɛ-caprolactone)/zinc oxide) composite biomaterials for enhancing the bioactivity and biocompatibility of the implant was prepared by using anodization treatment and dip-coating technique. The surface morphology, microstructure, adhesion strength and corrosion resistance of the composite biomaterials were investigated using scanning electron microscopy (SEM), adhesion measurements, electrochemical tests and immersion tests respectively. In addition, the biocompatible properties of Mg (magnesium), Mg/PCL (magnesium/poly(ɛ-caprolactone)) and Mg/O/PCL (magnesium/anodic film/poly(ɛ-caprolactone)) samples were also investigated. The results show that the Mg/O/PCL/ZnO composite biomaterials were with low porosity and with the ZnO powders dispersed in PCL uniformly. The adhesion tests suggested that Mg/O/PCL/ZnO composite biomaterials had better adhesion strength than that of Mg/PCL composite biomaterials obviously. Besides, an in vitro test for corrosion demonstrated that the Mg/O/PCL/ZnO composite biomaterials had good corrosion resistance and zinc ion was released obviously in SBF.