The magnetized coaxial gun is an efficient plasma injection device with significant applications in fusion fueling, astrophysical jet simulation, and magnetic reconnection studies. In this work, three typical discharge regions, i.e. spheromak region, diffusive region, and jet region, are observed through high-speed imaging and magnetic field measurements. The dynamic characteristics of the plasma in each region are systematically investigated. Based on ideal magnetohydrodynamic (MHD) theory, the magnetic field configurations, rotational behavior, and axial motion mechanisms of the plasma in different regions analyzed in detail. The results show that in the spheromak region, the plasma reaches a Taylor-relaxed state, exhibiting uniform rotation and forming a stable compact torus (CT) structure. In the diffusive region, a relatively strong bias magnetic field leads to faster rotation, enhancing centrifugal force, and consequently, enhancing radial diffusion. In the jet region, due to the weaker bias field, the plasma accumulates at the end of the inner electrode, exhibiting a clear pinch effect and forming a jet with axial instability. These findings not only deepen the understanding of the discharge physics of magnetized coaxial guns but also provide valuable experimental and theoretical support for numerically simulating and developing efficient plasma sources.