We report a systematic study of the thickness dependency of room temperature ferromagnetism in pristine MgO (~100-500 nm) and ZnO (~100-1000 nm) thin films deposited by reactive magnetron sputtering technique under the respective identical controlled optimum oxygen ambience. As far as we know this is the first such report on ferromagnetic pure MgO thin films, a result which should be of significance in understanding the functional aspects of magnetic tunnelling characteristics in devices using MgO dielectrics. From the magnetic characterization we observe a distinct variation in the saturation magnetization (MS) with increasing film thickness. In the case of MgO thin films MS values vary in the range 0.04-1.58 emu/g (i.e. 0.0012-0.046 ?B/unit cell) with increasing film thickness showing the highest MS value for the 170 nm thick film. Above this thickness MS is found to decrease and eventually above 420 nm the films show a paramagnetic behaviour followed by the well known diamagnetic property for the bulk (>500 nm). It is obvious that since initially the MS values increase with thickness, there has to be a maximum before the films become diamagnetic at some finite thickness. We also note that the MS values observed for MgO are the highest (more than twice the value observed for ZnO) to be reported for such a defect induced ferromagnetism in a pristine oxide. The origin of ferromagnetic order in both the oxides appears to arise from the respective cat-ion vacancies. The discovery of film thickness dependent ferromagnetic order should be very useful in developing multifunctional devices based on the technologically important materials MgO and ZnO.