This work investigates the photoluminescence properties of ZnO/Zn0.9Mg0.1O multiple quantum wells (MQWs), which have been fabricated by pulsed-laser deposition on (111) Si substrates using intervening epitaxial Lu2O3 buffer layers. In ZnO/Zn0.9Mg0.1O MQWs, the luminescence is dominated by localized exciton (LE) emission throughout the whole temperature range studied. With increasing temperature from 10 to 300 K, the LE emission redshifts by 38 meV. This redshift is believed to be due to the thermalized excitons occupying higher-lying localized states where they emit higher energy radiation and temperature-induced band gap shrinkage. Moreover, the LE emission from the MQWs decays more slowly than exciton emission from ZnO. In addition, the LE emission in the MQWs shows a systematic blueshift with decreasing well width, which is consistent with a quantum size effect.