Materials with pyrochlore structure A2B2O7 have attracted considerable attention owing to their various applications as catalysts, sensors, electrolytes, electrodes, and magnets due to the unique crystal structure and thermal stability. At the same time, the possibility of using such materials for electrochemical applications in salt melts has not been studied. This paper presents the new results of obtaining high-density Mg2+-doped ceramics based on Gd2Zr2O7 with pyrochlore structure and comprehensive investigation of the electrical properties and chemical stability in a lithium chloride melt with additives of various concentrations of lithium oxide, performed for the first time. The solid solution of Gd2−xMgxZr2O7−x/2 (0 ≤ x ≤ 0.10) with the pyrochlore structure was obtained by mechanically milling stoichiometric mixtures of the corresponding oxides, followed by annealing at 1500 °C. The lattice parameter changed non-linearly as a result of different mechanisms of Mg2+ incorporation into the Gd2Zr2O7 structure. At low dopant concentrations (x ≤ 0.03) some interstitial positions can be substituted by Mg2+, with further increasing Mg2+-content, the decrease in the lattice parameter occurred due to the substitution of host-ion sites with smaller dopant-ion. High-density ceramics 99% was prepared at T = 1500 °C. According to the results of the measurements of electrical conductivity as a function of oxygen partial pressure, all investigated samples were characterized by the dominant ionic type of conductivity over a wide range of pO2 (1 × 10–18 ≤ pO2 ≤ 0.21 atm) and T < 800 °C. The sample with the composition of x = 0.03 had the highest oxygen-ion conductivity (10−3 S·cm−1 at 600 °C). The investigation of chemical stability of ceramics in the melt of LiCl with 2.5 mas.% Li2O showed that the sample did not react with the melt during the exposed time of one week at the temperature of 650 °C. This result makes it possible to use these materials as oxygen activity sensors in halide melts.