In this paper, GaNbO4 crystal properties were regulated by Mg2+ doping. The refractive indexes, optical properties, and thermal properties were characterized, the influence of Mg2+ doping and air annealing on the conductivity and photoluminescence properties of GaNbO4 was systematically studied. The Mg2+ doping causes the ultraviolet absorption edge of GaNbO4 crystal blue shift, and the band gap of Mg: GaNbO4 crystal is 3.463 eV. The thermal expansion coefficient in b-direction was presented, which is -0.977 × 10−6 K−1; the high-temperature resistivity of the Mg: GaNbO4 crystal decreases from 1.7 × 109 to 3.0 × 106 W·cm in the temperature range of 500 to 800 °C, decreasing by about an order of magnitude after air annealing. The photoluminescence spectrum shows an enhanced blue emission in Mg: GaNbO4 crystals, and x-ray photoelectron spectroscopy was measured, the element's chemical states and oxygen vacancies in the crystal were analyzed. The regulation mechanism of the crystal properties was discussed in detail.