ZnO/Zn0.8Mg0.2O coaxial nanorod heterostructures were prepared by employing catalyst-free metal-organic vapor-phase epitaxy, and their structural and photoluminescent (PL) properties were investigated using transmission electron microscopy (TEM) and temperature-dependent PL spectroscopy. TEM images show that Zn0.8Mg0.2O layers were epitaxially grown on the entire surfaces of the ZnO nanorods and the ZnO nanorod diameters as a core material were as small as 9 ± 2 nm. A dominant PL peak was observed at 3.316 eV, from room-temperature PL spectra of ZnO/Zn0.8Mg0.2O coaxial nanorod heterostructures with ZnO core diameters of 9 nm, indicating a PL blue shift of 30 meV, which resulted from a quantum confinement effect along the radial direction in ZnO nanorods. Furthermore, temperature-dependent PL properties of the coaxial nanorod heterostructures were investigated, showing much higher PL intensity for the coaxial nanorod heterostructures than that of bare ZnO nanorods at room temperature. The origin of the enhanced PL intensity and reduced thermal quenching for the coaxial nanorod heterostructures is also discussed.