P-type Mg doped CuCrO2 thin films have been deposited on fused silica substrates by Radio-Frequency (RF) magnetron sputtering. The as-deposited CuCrO2:Mg thin films have been annealed at different temperatures (from 450 to 650 °C) under primary vacuum to obtain the delafossite phase. The annealed samples exhibit 3R delafossite structure. Electrical conductivity σ and Seebeck coefficient S of all annealed films have been measured from 40 to 220 °C. The optimized properties have been obtained for CuCrO2:Mg thin film annealed at 550 °C. At a measurement temperature of 40 °C, this sample exhibited the highest electrical conductivity of 0.60 S·cm−1 with a Seebeck coefficient of +329 µV·K−1. The calculated power factor (PF = σS²) was 6 µW·m−1·K−2 at 40 °C and due to the constant Seebeck coefficient and the increasing electrical conductivity with measurement temperature, it reached 38 µW·m−1·K−2 at 220 °C. Moreover, according to measurement of the Seebeck coefficient and electrical conductivity in temperature, we confirmed that CuCrO2:Mg exhibits hopping conduction and degenerates semiconductor behavior. Carrier concentration, Fermi level, and hole effective mass have been discussed.