Magnesium-doped zinc oxide (MZO) films were fabricated by pulsed-laser deposition (PLD) at various substrate temperatures (Ts). The substitution of Mg for Zn sites (MgZn) in the films was confirmed by X-ray diffraction (XRD), X-ray photoelectron spectroscopy (XPS) and room-temperature photoluminescence (RTPL) measurements. Characteristic deep-level emissions (DLE) observed in the RTPL spectra further indicate the presence of Zn vacancies (VZn) in the MZO films. Moreover, it was found that the intensity of the blue emission corresponding to VZn increases with increasing Ts, indicating the important role played by Ts on the incorporation of Mg into ZnO matrix. Hall effect measurements reveal the p-type conduction of the MZO films grown at 400°C. The p-type characteristic is attributed to the formation of nMgZn - VZn complex which could act as acceptor for MZO films.