Zn1-xMgxO films have been deposited on Al2O3(0001) substrates at different oxygen pressures by using pulsed laser deposition method. The influence of oxygen pressure on the crystal quality and optical properties of the films is studied with X-ray diffraction (XRD), transmittance spectra, and photoluminescence (PL). It is found that the crystal quality of the films lowers with increasing of oxygen pressure from 10-4Pa to 10 Pa. At the pressure of 10-4 Pa, the epitaxial relationship between the film and sapphire substrate is determined to be ZnMgO (0001)// Al2O3(0001),ZnMgO 1010//Al2O3 1120. In the oxygen rich environment, however, another epitaxial relationship, ZnMgO (0001)//Al2O3(0001) and ZnMgO 1010//Al2O3 1010, is also present in the films, which is suggested to be responsible for the decline of the crystal quality. Compared with pure ZnO films, the UV peak of Zn1-xMgxO alloys shows red-shift from 3.374 to 3.332 eV with increasing oxygen working pressure increasing from 10-4 Pa up to 10 Pa. The difference in red-shifts can be attributed to the decrease of Mg content in the films resulting from the variation of oxygen pressure. A broad UV PL spectrum was observed at 10 K in the films deposited under different pressures and can be decomposed into two recombination processes of excitons, corresponding to the bound and the localized exciton luminescence, respectively. The binding energy of bound excitons in the ZnMgO films is larger than that in pure ZnO and has an increasing trend with increasing oxygen pressure.