We report on the growth of Zn1-xMgxO nanopillars on a-plane sapphire by the vapor liquid solid (VLS) process. The as-grown nano structures are characterized by scanning electron microscopy (SEM), spatially resolved cathodoluminescence (SEM-CL), and integral photoluminescence (PL). The investigation with SEM applying different secondary electron detectors confirms that the pillars are grown by the VLS process. Integral PL experiments reveal an average value of 7% Mg incorporated in the Zn1-xMgxO nano structures. Both ZnO- and Zn1-xMgxO– related luminescence features are observed. The direct incorpoaration of Mg into single pillars is demonstrated with SEM-CL, and different Mg concentrations are found. First annealing experiments on the sample at 850°C lead to an almost complete breakdown of the ZnO- and Zn1-xMgxO– related near band-edge luminescence, whereas the structural properties of the sample morpholgy remain nearly unchanged.