We reported optical properties of a-plane ZnO/ZnMgO multiple quantum wells (MQWs) structure grown by the pulse laser deposition system. The emission peak energy of a-plane ZnO/ZnMgO MQWs kept invariant in the power-dependent photoluminescence (PL) measurement, indicating the nonpolar characteristics due to the lack of built-in electric fields. Large exciton binding energy of 68 meV was deduced and no apparent S-curve appeared in temperature-dependent PL results, demonstrating less carrier localization effect in a-plane ZnO/ZnMgO MQWs. Large difference in electronic transition levels of 45 meV due to the valence band splitting was observed in the polarization dependent absorption spectrum. Furthermore, the high degree of polarization of 92% and 56% at 20 and 300 K in PL emission of a-plane ZnO/ZnMgO MQWs were obtained.