Mg-doped Al2O3 protective layers were deposited on Pt–PtRh10 (S-type) thin film thermocouples (TFTCs) by reactive magnetron sputtering. The changes in the composition, microstructure, and element distribution of the Mg-doped Al2O3 films before and after annealing at 1200 °C for 3 h were investigated using X-ray diffraction (XRD), X-ray photoelectron spectroscopy (XPS), Scanning electron microscopy (SEM), and energy dispersive X-ray spectroscopy (EDS). The results indicate that incorporating MgO into Al2O3 as an enhancement phase not only inhibits the crystallization and phase transformation of Al2O3 but also promotes the formation of MgAl2O4, sequentially further enhancing the material's high-temperature protective properties. The thermoelectric properties of S-type TFTCs with 1.6 μm thick Al2O3 and Mg-doped Al2O3 protective layers were explored, respectively. The results of static calibration at high temperatures demonstrate that the TFTCs with the Mg-doped Al2O3 protective layer can operate at 1148 °C for over 96 h and at 1480 °C for a brief period. Following 4 calibration cycles, compared to the TFTCs with the Al2O3 protective layer, the average Seebeck coefficients of the TFTCs with the Mg-doped Al2O3 protective layer exhibit a slower decline rate, and its drift rate during the 4th cycle is merely 3.28 °C/h. The TFTCs featuring Mg-doped Al2O3 protective layers demonstrate extended lifetimes, superior high-temperature stability, and enhanced reliability when contrasted with those utilizing undoped Al2O3 protective layers. These attributes offer valuable insights into the progression of TFTC technology.