We report on ultraviolet emission from a multi-layer graphene (MLG)/MgZnO/ZnO light-emitting diodes (LED). The p-type MLG and MgZnO in the MLG/MgZnO/ZnO LED are used as transparent hole injection and electron blocking layers, respectively. The current-voltage characteristics of the MLG/MgZnO/ZnO LED show that current transport is dominated by tunneling processes in the MgZnO barrier layer under forward bias conditions. The holes injected from p-type MLG recombine efficiently with the electrons accumulated in ZnO, and the MLG/MgZnO/ZnO LED shows strong ultraviolet emission from the band edge of ZnO and weak red-orange emission from the deep levels of ZnO.