Widegap ZnMgO thin films hold great potential for applications to high-efficiency generation of deep ultraviolet laser via frequency conversion, because of low light propagation loss and reversible polarization. In this work, we studied the effect of Li concentration on the second harmonic generation (SHG) of a-axis oriented ZnMgO thin films with an optical bandgap of about 3.96 eV. The SHG intensity per unit thickness from the ZnMgO thin film with a small Li concentration is approximately 10.7 times larger than the one without Li incorporation. The Li incorporation obviously enlarges interplanar spacing of (11-20) plane and reduces leakage current by 3 orders of magnitude. X-ray photoelectron spectroscopy measurements suggest the Li incorporation enhances SHG via enhancing electronic polarization. These findings uncover defect complexes based on Li interstitials in oxygen octahedron play a very important role in enhancing the nonlinear polarization of widegap ZnMgO thin films under optical frequency electric field.