We present results of experimental study of the gain bandwidth (GBW) of MgB2 hot electron-bolometer (HEB) mixers at 0.1THz and 0.4THz. Antenna integrated 0.25-1.5um2 area devices were made from thin MgB2 films deposited with a custom made HPCVD system. Film as thin as 15-45nm had a Tc from 35K to 40K. The GBW was found to be independent on the bias conditions, the bath temperature, and the LO frequency. The maximum GBW of 6GHz was observed for 15nm thick HEBs. At an 0.7THz LO and a 23K bath temperature the receiver noise temperature of this mixer was 3000K (corrected for optical losses).