To improve the corrosion resistance of an electrogalvanized steel sheet, we deposited magnesium film on it using a vacuum evaporation method and annealed the films at $250-330^{circ}C$. The zinc-magnesium alloy is consequently formed by diffusion of magnesium into the zinc coating. From the anodic polarization test in 3% NaCl solution, the films annealed at $270-310^{circ}C$ showed better corrosion resistance than others. In X-ray diffraction analysis, $ZnMg_2$ was detected through out the temperature range, whereas $Mg_2Zn_{11}$ and $FeZn_{13}$ were detected only in the film annealed at $310^{circ}C$. The depth composition profile showed that the compositions of Mg at $270-290^{circ}C$ are evenly and deeply distributed in the film surface layer. These results demonstrate that $270-290^{circ}C$ is a proper temperature range to produce a layer of $MgZn_2$ intermetallic compound to act as a homogeneous passive layer.