In the present day, the increment in life expectancy has led to the necessity of developing new biomaterials for the restoration or substitution of damaged organs that have lost their functionalities. Among all the research about biomaterials, this review paper aimed to expose the main possibilities that the sol-gel synthesis method can provide for the fabrication of materials with interest in the biomedical field, more specifically, when this synthesis method is used to improve the biological properties of different magnesium alloys used as biomaterials. The sol-gel method has been widely studied and used to generate ceramic materials for a wide range of purposes during the last fifty years. Focused on biomedical research, the sol-gel synthesis method allows the generation of different kinds of biomaterials with diverse morphologies and a high potential for the biocompatibility improvement of a wide range of materials commonly used in the biomedical field such as metallic implants, as well as for the generation of drug delivery systems or interesting biomaterials for new tissue engineering therapies.