The dissimilar welding between magnesium alloy and steel sheet was required in automobile industry to increase the strength of the dissimilar joints. Laser brazing is one of the good joining processes for Mgsteel dissimilar joint. In this study, the effect of coating materials was evaluated on the laser brazing for the dissimilar joint between AZ31 and coated steels such as Zn, Sn and Ni. Diode direct laser was used to braze the lap-edge joint with Mg600 filler wire and Superior #21 flux. The wettability was best on Zn coated steel. The interlayer was formed at the interface between brazement and steel for all coating materials. The strengths of brazed specimen were 146.5N/mm, 204.6N/mm and 101.6N/mm for Zn, Sn and Ni coated steel respectively.