We report the thermal stability of room-temperature RF-sputtered Mg0.4Zn0.6O thin films and ZnO/Mg0.4Zn0.6O superlattices at 600 °C and 800 °C. The phase of room-temperature as-sputtered Mg0.4Zn0.6O is crystalline ZnO embedded in an amorphous or short-range-ordered hexagonal MgZnO matrix. Annealing at either 600 °C or 800 °C for 5 min transforms the matrix into a crystalline hexagonal wurtzite structure, leading to a decrease of the optical bandgap (Eg) of Mg0.4Zn0.6O. This also results in a slight change near the absorption edge of the superlattice transmission spectrum. The films precipitate cubic MgZnO after heating Mg0.4Zn0.6O at 800 °C for 5 min; by contrast, precipitations take at least 3 h if the samples are heated at 600 °C. Heating at 800 °C for more than 3 h significantly reduces the film thickness and Eg, attributed to the decomposition of superlattices and diffusion of magnesium into the substrate, respectively. On the other hand, annealing the ZnO/Mg0.4Zn0.6O superlattice at 600 °C for 12 h also produces an initial slight change in the optical transmission spectra, yet the spectra remain essentially unchanged for the remainder of the annealing process.