A series of Zn_1−x Mg_xO thin films with the composition range x = 0.00–0.60 has been prepared by aerosol spray pyrolysis deposition on Si or quartz substrates. The morphology, composition, crystals structure, and optical properties of the prepared films were studied by scanning electron microscopy (SEM), energy dispersive X-ray analysis (EDX), X-ray diffraction (XRD), and optical spectroscopy. It was found that the morphology of films is not significantly different for films with different compositions, while the compositions correspond to those preset in the spray solutions, and all the films are of wurtzite structure up to the x value of 0.6. The optical bandgap of films was determined from the absorption spectra, and the dependence of the bandgap on the Mg content was compared with previously reported data. A photodetector with a design composed of two Zn_1−xMg_xO layers with different compositions was developed and characterized. It was found that the photodetector operates as injection photodiode with improved parameters as compared to a previous device with a single ZnMgO film prepared by spin coating.