The ultra-violet (UV) detection has a wide application in both civil and military fields. ZnO is recognized as one of ideal materials for fabricating the UV photodetectors due to its plenty of advantages, such as wide bandgap, low cost, being environment-friendly, high radiation hardness, etc. Moreover, the alloying of ZnO with MgO to make ZnMgO could continually increase the band gap from ~3.3 eV to ~7.8 eV, which allows both solar blind and visible blind UV radiation to be detected. As is well known, ZnO is stabilized in the wurtzite structure, while MgO is stabilized in the rock salt structure. As a result, with increasing the Mg content, the crystal structure of ZnMgO alloy will change from wurtzite structure to rock salt structure. Therefore, ZnMgO photodetectors can be divided into three types based on the structures of alloys, namely, wurtzite-phase, cubic-phase and mixed-phase devices. In this paper, we review recent development and make the prospect of three types of ZnMgO UV photodetectors.