This article reports results involving the molecular beam epitaxial growth of the quaternary (Zn,Mg)(S,Se) compound as well as the incorporation of this quaternary into a pseudomorphic separate confinement heterostructure laser diode configuration. It was found that the quaternary (Zn,Mg)(S,Se) can accommodate much more strain as compared to binary ZnSe; the films remained essentially pseudomorphic, with low defect densities, for strains in the studied range from −0.225% (tension) to 0.137% (compression) at room temperature. The relationship between the surface morphology and the strain is also described in this paper. Lasing was routinely obtained at room temperature under pulsed injection. A threshold lasing voltage of as low as 7 V was observed in index-guided diode lasers.