Single-crystalline magnesium oxide (MgO) is a material with outstanding high-temperature resistance and huge potential for use in high-temperature devices, light emitting devices and optical display fields. The investigation of fabricating a microstructure on the MgO substrate using wet etching process is conducted. The temperature and concentration dependence of the etching rate on the materials, and the surface roughness of the microstructure, are explored and analyzed. A microcavity with good profile and low roughness, 80.7 µm in depth and 4 mm in diameter, has been generated on a MgO substrate with a 50% H3PO4 etchant solution at ~100 °C. Optical microscopy, atomic force microscopy, scanning electron microscopy, x-ray photoelectron spectroscope and x-ray diffraction analysis are employed to demonstrate the successful application of wet etching for improving the etching rate and surface morphology without the deterioration of the surface roughness. Our work is of fundamental importance in the fabrication of MgO-based devices (such as pressure sensors, vibration sensors and photonic resonators) and the improvement of growth condition of oxide films on MgO substrates.