Metallic coatings are convenient, facile, and effective strategies for corrosion protection by limiting the contact between metals or alloys and corrosive media. However, degradation of the coatings allows corrosive media to penetrate into the surface of the underlying metals and alloys, resulting in corrosion-induced material failures such as etch pits, cracks, and interfacial delamination. Currently, development of coatings with smart early-stage corrosion properties is an alluring, but challenging area of research. These coatings can detect invisible microscopic corrosion underneath, and even potentially possess self-repairing abilities. This review summarizes the characteristics of various stages of corrosion under coatings, and systematically reviews previous studies on self-warning coatings. Various sensing molecules have been developed, which utilize colorimetric or fluorescent probes. The review highlights these developments, as well as the combination of sensing molecules together with various coatings to allow corrosion detection. We have classified them into three mechanisms according to the monitored local variations: pH, metal ions, and coating damage. The advantages and disadvantages of different coatings (silica-based nanocontainers, layered-double-hydroxides containers and poly(urea-formaldehyde)/ polyurethane double-shell microcapsules) are also discussed. Finally, we summarize that the current related research shows promising prospects, but future research efforts that focus on their coatings: compatibility, service life, environmental toxicity, and practical effectiveness need to be prioritized.