Wastewaters discharged from different industries and hospitals may contain pharmaceuticals, especially dexamethasone (DEX). Thus, we applied the UV/H2O2 photocatalytic method in the presence of the MgO nanoparticles to remove dexamethasone from synthetic wastewater. Moreover, the effects of parameters such as pH = 3–11, hydrogen peroxide concentration = 1–8 mM, initial DEX concentration (5–30 mg/L), catalyst dosage = 0.01–0.2 g/l were investigated at the contact times of 0–30 min. Furthermore, the efficiency of UV/H2O2 in the presence and absence of catalyst was investigated. Additionally, this catalyst was characterized by means of XRD and FT-IR analyses and SEM imaging. It was found that the removal rate was enhanced with decreasing pH and initial dexamethasone concentration. The removal rate was enhanced somewhat with concentrations of hydrogen peroxide and MgO. In the case of UV/H2O2/MgO, 87% removal efficiency achieved, under the optimal conditions: pH 3, contact time of 30 min, dexamethasone content of 20 mg/L, H2O2 of 0.5 mM, and UV radiation of 55 watts. The kinetic data indicated that the reaction followed the second-order kinetic model. The results showed that the UV/H2O2 photochemical process can efficiently remove dexamethasone from aqueous in the presence of MgO catalyst, and the mineralization efficiency was reached at about 98%.