The thermal stability of quaternary alloy BeMgZnO was investigated in this study. When a Be0.09Mg0.19Zn0.72O alloy film was annealed, structural relaxation and reconstruction of the film layers were found at 600, 700, and 800 °C. Be atoms were found to gradually diffuse out from the host lattice, and Mg atoms were still maintained. As a result, a mixed-phase alloy containing BeO and MgxZn1-xO was continuously generated. Correspondingly, the bandgap of Be0.09Mg0.19Zn0.72O reduced because of the diffusion of Be atoms. Hence, the thermodynamic solubility of BeO in ZnO and MgO was demonstrated to be relatively low. Additionally, the aging effect caused by a higher annealing temperature is more effective than that caused by a lower annealing temperature for a longer time. Due to the improvement of crystal quality, an MSM interdigital structure photodetector based on the 800 °C annealed sample was fabricated and revealed a strong response to the UV light. Our finding provides a new understanding of the ultrawide bandgap quaternary alloy BeMgZnO and contributes to a significant step toward its practical applications.