Gallium oxide (Ga₂O₃) possesses an ultra-wide bandgap and high breakdown electric field, making it promising for applications in power electronic devices and optoelectronic devices. Although Ga₂O₃ lacks p-type conductivity, we can still utilize p-type doping to control and design electrical properties by energy band engineering. The p-type dopants for gallium oxide that have been experimentally verified include Mg, Fe, N, Zn, Cu, Ni, Co, etc. Among the p-type dopants of Ga₂O₃, Mg is extensively studied due to its lowest formation energy, closest energy level to the valence band top, and multiple doping methods. This paper focuses on Mg doping β-Ga₂O₃. Firstly, the theoretical computational understanding and experimental test results of the acceptor levels of Mg-doped Ga₂O₃ are reviewed. Secondly, various doping methods, doping concentrations, and key issues such as Mg diffusion during thermal treatment for semi-insulating single crystals and epitaxial layers of Mg-doped β-Ga₂O₃ are summarized. Finally, it is pointed out that further investigations are needed on the mechanisms of Mg incorporation, activation and diffusion.