A substrate (580) made by a thin magnesium plate having a thickness of at most 60 .mu.m and bent in a predetermined shape is subjected to anodic oxidation using an alkali-mixture aqueous solution containing metallic salt with a pH 12 or more so that porous anodic oxide coatings (571) are formed on the surfaces thereof. A first treated substrate (581) having the anodic oxide coatings (571) is immersed in a bath of a dye (571B), which fills the pores (571A) of the anodic oxide coatings (571) and dyes the substrate, providing a second treated substrate (582). The second treated substrate (582) is subjected to electrodeposition using electrodeposition paint made mainly of acrylic resin, forming electrodeposition coatings (572) on the anodic oxide coatings (571). A magnesium diaphragm is thereby produced, which is thin and has sufficient sensitivity and desired characteristics. The diaphragm thus dyed has metallic gloss and hence acquires a high decorative value.