A series of 10-period ZnO/Zn0.9Mg0.1O multiple quantum wells (MQWs) with well widths varying from 2.2 to 5.6 nm have been grown on r-plane sapphire substrates by pulsed laser deposition. A good periodic structure with clear interfaces was observed by transmission electron microscopy. In a-plane ZnO/Zn0.9Mg0.1O MQWs, the luminescence was dominated by localized exciton emissions at low temperatures, while the free exciton (FE) transition was dominating emissions at temperatures above 100 K. The thermal quenching behavior of exciton emission has been analyzed. A rate equation assuming two nonradiative recombination channels is used to describe the quenching of the transitions observed. Moreover, the FE emission energy in the MQWs shows a systematic blueshift with decreasing well width, which is consistent with a quantum confinement effect.