Impurity phases of CaMgSi2O6:Eu (CMS) phosphor have been investigated in detail by X-ray absorption fine structure (XAFS), ESR, X-ray diffraction (XRD) and photoluminescence (PL) analyses. XRD studies of CMS phosphor powders clarify the volume fraction of CMS, Ca2MgSi2O7, (Ca,Eu)10(SiO4)6O2, and crystalline SiO2. XAFS and ESR studies clarify that the soluble limit of Eu ions in CMS crystals is observed at about 0.01 mol. Excess Eu ions yield an impurity (Ca,Eu)10(SiO4)6O2 and some of them are captured by another impurity Ca2MgSi2O7. From the results of XAFS, ESR, XRD, and PL measurements, it was revealed that the PL peak intensities under 147 and 360 nm excitation correlate closely with the amount of these impurity phases containing divalent and trivalent Eu ions. Variation of X-ray absorption near edge structure and ESR spectra indicate that the optimum Eu concentration of the CMS phosphor is at approximately 0.01 molar versus Ca.