Lattice superlattices constructed with different materials such as ferromagnets and insulators at atomic scale provide an ideal platform for exploring many emergent physical phenomena. In the present work, a new type of superlattices composed of ferromagnetic half-metal CrO2, with a thickness of two atomic layers, together with insulating MgH2 are constructed. Systematic theoretical studies on the (CrO2)2/(MgH2) n (n = 2, 3, 4, 5, 6) superlattices are carried out based on first-principles density-functional theory calculations. These superlattices are ferromagnetic semiconductors with similar intra-layer magnetic exchange couplings between Cr ions. As the thickness of the MgH2 layer increases, the magnetic exchange interaction between inter-layer Cr ions shows oscillating decaying behavior, while the energy band gaps show a small increase. The understanding of magnetic couplings in these superlattices provides a pathway for constructing new ferromagnetic semiconductors.