MgO, SiO₂, and TiO₂ coatings were applied to the surface of chopped carbon fiber by sol-gel method, and the influence of each coating on the wettability of carbon fiber was analyzed. The coated carbon fiber reinforced magnesium composites were prepared, and the effect of surface coating on the microstructure and properties of the composites was investigated. The results show that the surface of MgO coating is rough and there are agglomerated MgO particles. The surface of SiO2 and TiO2 coating is smooth and continuously distributed along the radial direction of carbon fiber, which has good profile property. Moreover, the presence of three kinds of coatings can significantly improve the wettability of carbon fiber. The wetting angle of the MgO coating decreased from 120° to less than 90°, and the wetting angle of the MgO coating is only 42°. The coated carbon fibers are used to prepare magnesium matrix composites, and the composite strength of TiO2 is the highest, followed by SiO2 and MgO. This is caused by a combination of wettability and interfacial reaction.