ZnO films were deposited on MgO substrates (ZnO/MgO) by ultrasonic spray pyrolysis. Substrate temperature varied from $250^{circ}C$ to $350^{circ}C$. The crystallographic properties and surface morphologies of the ZnO/MgO films were studied by X-ray diffraction and scanning electron microscopy. The properties of photoluminescence (PL) for the films were investigated by dependence of PL spectra on the substrate temperature and the annealing temperature. The ZnO/MgO films prepared at $350^{circ}C$ showed the strongest Ultraviolet light emission peak at 18 K and 300 K among the films in this study. The annealing process increases the visible light emission, which is due to the increased oxygen vacancies.