A study has been carried out of superconductivity in coatings formed on niobium by plasma electrolytic oxidation (PEO) in an electrolyte containing different concentrations of MgB2. From preliminary experiments, a suitable PEO condition was selected. The coatings were examined by analytical scanning electron microscopy and X-ray diffraction. Superconductivity was assessed using magnetic moment-field measurements. At 6 K, superconductivity of the niobium dominated, which revealed strong flux pinning and sudden release. The latter was more gradual following PEO, indicating pinning was a surface effect. Between the critical temperature of niobium (9.25 K) and MgB2 (about 39 K), the diamagnetic behaviour of superconducting MgB2 was present, with earlier flux penetration the closer the temperature to 39 K. The hysteresis loop indicated stronger flux pinning for lower temperatures, as expected for a superconductor.