Metal oxide nanoparticles display unique properties such large bandgap, low electric constant, low refractive index, high chemical stability, and vacant oxygen presence. Magnesium oxide (MgO) nanoparticles are of particular interest because they are abundant, nontoxic, cheap, odorless, and stable. Here we review the synthesis and applications of MgO nanoparticles and their composites in various fields. MgO has antibacterial properties for medicine due to the production of superoxide anion O2−. The reactivity and stability of MgO are of interest for medicine, water purification, catalysis, and gas sensors. For membrane applications, new strategies are needed to control the pore diameter of the membranes with MgO as filler. As food packaging materials, there is a need for methods to assess the release of nanoparticles from the packing materials into food. For sensor applications, challenges include sensitivity, reproducibility, surface fouling, and poisoning. For supercapacitors and semiconductors, controlling the pore structure should improve electron transport.