Hydrothermal ZnMgO crystals were studied by cathodoluminescence. The high energy shift of the excitonic luminescence demonstrates the Mg incorporation in the ZnO lattice in at a few percent. The spectral parameters of the luminescence emission show a marked dependence of the incorporation of defects and Mg on the growth facet. This growth sector selectivity shows similar trends to those observed in hydrothermal ZnO crystals. The in depth distribution of Mg was studied varying the acceleration voltage of the excitation e-beam, showing a slight accumulation of Mg close to the surface.