Deformation-induced coating damage during surgery and service has always been difficult for surface-treated magnesium (Mg) implants. Recently, self-healing coatings have been increasingly developed for biomedical magnesium applications, presenting a promising approach to address this issue. However, the behavior of coating damage caused by deformation and its following effects on the coating availability is ambiguous. In this work, dicalcium phosphate dihydrate (DCPD) coating was applied as a self-healing agent on the bare and micro-arc oxidation (MAO)-coated Mg-2Zn (wt%) wires with a diameter of about 300 μm. After these wires were bent to 90°, their coatings were damaged in various degrees by peeling and cracking on their concave and convex sides, respectively. Compared to coatings before deformation, the corrosion inhibition of these damaged coatings in Hanks’ balanced salt solution (HBSS) decreased significantly. The corrosion resistance of deformed MAO-coated and MAO&DCPD (M&D)-coated wires increased with prolonged immersion time at the early corrosion stage, while that of the DCPD-coated wire remained stable. The long-term immersion results showed that the M&D-coated wire had the lowest corrosion rate. DCPD could exhibit its self-healing ability on the MAO-coated Mg wire during immersion but not on the bare wire. Given the good biocompatibility of wires after DCPD treatment, this dual-layered M&D coating is more suitable for Mg implants under deformation than the MAO coating or DCPD coating alone. Additionally, the poor performance of DCPD-coated Mg wire suggests the damage and anti-corrosive behavior of coatings on Mg after deformation differ markedly from those observed in existing scratch experiments.