Cathodoluminescence behavior vs. accelerating voltage of electron beam in ZnO/ZnMgO multi-quantum wells was reported in this paper. The samples were grown on sapphire substrate by plasma-assisted molecular beam epitaxy. By exciton tunneling, the excitation efficiency was improved significantly. In a sample with asymmetric double-quantum-wells, a marked reduction of the optimal acceleration voltage from 7 kV to 5 kV was obtained compared to the symmetrical multi-quantum well sample.