Ba2Mg0.4Co1.6Fe12O22 was prepared in powder form by sonochemical co-precipitation and examined by X-ray diffraction, Mössbauer spectroscopy and magnetization measurements. Careful XRD data analyses revealed the Y-type hexaferrite structure as an almost pure phase with a very small amount of CoFe2O4 as an impurity phase (about 1.4%). No substantial changes were observed in the unit cell parameters of Ba2Mg0.4Co1.6Fe12O22 in comparison with the unsubstituted compound. The Mössbauer parameters for Ba2Mg0.4Co1.6Fe12O22 were close to those previously found (within the limits of uncertainty) for undoped Ba2Mg2Fe12O22. Isomer shifts (0.27–0.38 mm/s) typical for high-spin Fe3+ in various environments were evaluated and no ferrous Fe2+ form was observed. However, despite the indicated lack of changes in the iron oxidation state, the cationic substitution resulted in a significant increase in the magnetization and in a modification of the thermomagnetic curves. The magnetization values at 50 kOe were 34.5 emu/g at 4.2 K and 30.5 emu/g at 300 K. The zero-field-cooled (ZFC) and field-cooled (FC) magnetization curves were measured in magnetic fields of 50 Oe, 100 Oe, 500 Oe and 1000 Oe, and revealed the presence of two magnetic phase transitions. Both transitions are shifted to higher temperatures compared to the undoped compound, while the ferrimagnetic arrangement at room temperature is transformed to a helical spin order at about 195 K, which is considered to be a prerequisite for the material to exhibit multiferroic properties.