We report a systematic investigation on Mg doped InN epilayers grown by radio-frequency plasma-assisted molecular beam epitaxy. Electrolyte capacitance voltage (ECV) combined with thermopower measurements find p-type conduction over an Mg concentration range. For InN:Mg in this p-type “window” the Seebeck coefficients dramatically change their signs from negative to positive when the thickness of undoped InN interlayer decreases to zero. This notable sign change of Seebeck coefficient explains the previous inconsistency between ECV and thermopower results and confirms the existence of mobile holes in the InN:Mg. Taking into account the undoped InN interlayer, the hole density and mobility are extracted.