The thermal control coatings with low absorbance-emissivity ratio were successfully fabricated on AZ31 Mg alloy by plasma electrolytic oxidation (PEO) technique. The influence of Zr(NO3)4 on the thermal control properties of the PEO coatings was studied in detail. The micro-structure, element distribution, phase and chemical composition of the prepared coatings were characterized by analytical techniques. The solar absorbance and emissivity of the coatings were respectively measured by a solar absorption/reflectmeter and an ultraviolet-visible-near infrared spectrophotometer. The results revealed that the coatings were composed of MgO, t-ZrO2 and an Mg-O-Zr compound (Mg0.13Zr0.87O1.87), as well as some non-crystalline phosphorus. The EDS results showed the existence of Mg, O, Zr, P, Na and K elements on the porous coating with different shapes and sizes. The thickness, roughness and thermal control properties of the coatings were greatly affected by the content of Zr4 + ions in the electrolyte. When the concentration was 10 g/L, the coating possessed the lowest absorbance-emissivity ratio (about 0.46) and the maximum thickness. Herein, the solar absorbance was 0.405 and the emissivity reached 0.873. The thermal control coating obtained by this method will broaden the spatial application of Mg alloy.