A Zn--Mg binary coating layer formed on a steel sheet has the tri-layered structure that the first sublayer composed of a Zn--Mg alloy having Mg concentration of 0.5 wt. % or less, the second sublayer composed of a Zn--Mg alloy having Mg concentration of 7 wt. % or more and the third sublayer composed of a Zn--Mg alloy having Mg concentration of 0.5 wt. % or less are successively laminated. The coating layer may have the penta-layered structure wherein sublayers composed of a Zn--Mg alloy having Mg concentration of 2-7 wt. % are additionally interposed between the high-Mg and low-Mg sublayers. A Zn--Fe or Zn--Fe--Mg alloy layer may be formed at the boundary between the substrate steel and the coating layer. The adhesion ratio of the first sublayer to the top sublayer is preferably 1.2 or more, while the high-Mg sublayer is preferably conditioned to the mixed structure of a Zn.sub.2 Mg phase with a Mg-dissolved Zn phase. Due to the specified lamellar structure, the intrinsic properties of the high-Mg sublayer is sufficiently exhibited, and the secondary paint adhesiveness of the coating layer is excellent. Consequently, the coated steel sheet is useful as structural members or parts exposed to a severe corrosive atmosphere in various industrial fields.