Over the past decades, the aluminum gallium nitride (AlGaN) alloy system has received wide interest for the development of semiconductor deep ultraviolet (DUV) lasers due to its direct, tunable, and ultrawide bandgap energies (3.4-6.2 eV). The progress, nonetheless, has been remained slow, which is ascribed to a few major challenges, including large dislocation and defect densities, difficulty in obtaining p-type high-Al-content AlGaN layers with a sufficient p-type conduction, the large electric polarization fields, and the unfavorable optical polarization. In recent years, with AlGaN alloys grown by molecular beam epitaxy (MBE), including both thin films and nanowire structures, remarkable advancements have been made, such as highly conductive p-type high-Al-content AlGaN epilayers with resistivities as low as 0.7 Ω cm and DUV lasing down to 239 nm with nanowire structures under a direct current injection. Herein, the recent progress on the DUV lasers by the MBE-grown AlGaN is reviewed. The challenges and prospects of the MBE-grown AlGaN for DUV lasers are also discussed.