An urchin-like ZnO/MgO hierarchical structure was synthesized successfully via one-step thermal evaporation of the mixture of metal Zn and Mg powders under designed conditions. The morphology observations and structure analysis of ZnO/MgO hierarchical structures and the related byproducts revealed that there existed a morphology evolution linkage as MgO spheres—ZnO/MgO hierarchical structures—ZnO flowers. The detailed investigations suggested that the temperature and ZnO x concentration in gas flow played crucial roles in the formation of these structures, especially for the hierarchical structure. The photoluminescence spectra showed a regular change corresponding to the morphology evolution.