In this work, the performances of several natural organic inhibitors were investigated in a sol-gel system (applied on the magnesium alloy Mg AZ31B substrate). The inhibitors were quinaldic acid (QDA), betaine (BET), dopamine hydrochloride (DOP), and diazolidinyl urea (DZU). Thin, uniform, and defect-free sol-gel coatings were prepared with and without organic inhibitors, and applied on the Mg AZ31B substrate. SEM and EDX were performed to analyze the coating surface properties, the adhesion to the substrate, and the thickness. Electrochemical measurements, including electrochemical impedance spectroscopy (EIS) and anodic potentiodynamic polarization scan (PDS), were performed on the coated samples to characterize the coatings’ protective properties. Also, hydrogen evolution measurement—an easy method to measure magnesium corrosion—was performed in order to characterize the efficiency of coating protection on the magnesium substrate. Moreover, scanning vibrating electrode technique (SVET) measurements were performed to examine the efficiency of the coatings loaded with inhibitors in preventing and containing corrosion events in defect areas. From the testing results it was observed that the formulated sol-gel coatings provided a good barrier to the substrate, affording some protection even without the presence of inhibitors. Finally, when the inhibitors’ performances were compared, the QDA-doped sol-gel was able to contain the corrosion event at the defect.