Solid solution of Ca9‐xMgxBi(VO4)7 in powder and ceramic forms are obtained by solid‐state reactions. Details of their crystal structures are determined for x = 0.25 and x = 0.5 by synchrotron radiation diffraction and the Rietveld method. The refinement has confirmed that Mg2+ is replacing Ca2+ in M5 position of a polar (S.G. R3c) β‐Ca3(PO4)2‐type structure. Thermal analysis, dielectric and second harmonic generation experiments in broad temperature regions have proved this polar structure is formed for 0 ≤ x ≤ 0.7. Magnesium for calcium substitution enhances optical nonlinear activity of Ca9‐xMgxBi(VO4)7 in 0 < x ≤ 0.5. Two phase transitions have been found, one of which from polar to centrosymmetric phase is accompanied by dielectric constant peak of ferroelectric type. The other is upper on temperature, marked with smaller dielectric anomaly, and goes between 2 centrosymmetric phases. Temperatures of the phase transition only slightly depend on x, the first being near 1050 K, the second near 1100 K. Electric conductivity quickly rises with temperature in the polar phase. At higher temperature it changes according to the Arrhenius law with small activation energy, Ea ~ 0.7 eV for bulk conductivity and Egb ~ 2.0‐2.5 eV for grain boundary conductivity. The analysis of bulk and grain boundary conductivities agrees with Ca2+‐ion fast transport in ceramics. The bulk conductivity slowly decreases with magnesium content, the grain boundary conductivity does not notably depend on the composition.