The nanoscale Co–Mg–O oxide sample (15 wt% in terms of Co3O4) was prepared from the corresponding xerogel synthesized by the modified sol-gel method. The hydrolysis of as-prepared Mg(OCH3)2 was carried out using the aqueous solution of Co(NO3)2 precursor. The CoOx nanocrystallites of about 10–20 nm in size were shown to be uniformly distributed within the MgO matrix. The reduction of Co–Mg–O in H2 flow was found to proceed in two separate stages within the temperature ranges of 200–350 °C and 350–600 °C. The prepared binary Co–Mg–O system was demonstrated to possess completely reproducible reduction behavior in the consecutive reduction/reoxidation cycles. The phase composition of the sample exposed to both the reducing and oxidative environment was followed by an in situ X-ray diffraction analysis performed at temperatures of 25, 300, 500 and 700 °C. The determined lattice parameters for MgO (a = 4.219 Å) and Co3O4 (a = 8.110 Å) were found to be slightly increased as compared with the values from Powder Diffraction File, so that the formation of joint non-stoichiometric (Mg1-xCox)O and (Co3-xMgx)O4 phases was suggested. The strong chemical interaction of cobalt oxide with MgO matrix was also evidenced by the data of a diffuse reflectance UV–vis spectroscopy.