A series of Zn_1−xMg_xO thin films with x ranging from 0 to 0.8 were prepared by spin coating and aerosol spray pyrolysis deposition on Si and quartz substrates. The morphology, composition, nano-crystalline structure, and optical and vibration properties of the prepared films were studied using scanning electron microscopy (SEM), energy dispersive X-ray analysis (EDX), X-ray diffraction (XRD), and optical and Raman scattering spectroscopy. The optimum conditions of the thermal treatment of samples prepared by spin coating were determined from the point of view of film crystallinity. The content of crystalline phases in films and values of the optical band gap of these phases were determined as a function of the chemical composition. We developed heterostructure photodetectors based on the prepared films and demonstrated their operation in the injection photodiode mode at forward biases. A device design based on two Zn_1−xMg_xO thin films with different x values was proposed for extending the operational forward bias range and improving its responsivity, detectivity, and selectivity to UV radiation.