The ZnO/Zn0.85Mg0.15O multiple quantum wells(MQWs)are fabricated on m-Al2O3 substrates by plasma-assisted molecular beam epitaxy (P-MBE) using a ZnMgO buffer layers. The reflection high-energy electron diffraction (RHEED) images indicate that the MQWs are of two-dimensional growth .The temperature dependent photoluminescence (PL) of the MQW also shows the quantum confine effect even at room temperature. The PL peak of 3nm MQW is 3.405 eV at 290 K.The PL spectrum in ZnO/Zn0.85Mg0.15O MQW is dominated by localized exciton emission at low temperatures, while the free exciton transition gradually dominates the spectrum at higher temperatures up to room temperature. The exciton binding energy in the 3 nm ZnO/Zn0.85Mg0.15O MQW is about 73 meV.