By doping different concentrations of Mg2+ at Ni site, the (00l)-oriented La2MgxNi1-xMnO6 (abbreviated as LMxNMO, x = 0, 0.1, 0.2, 0.3, 0.4) double-perovskite thin films were epitaxially grown by pulsed laser deposition. The substitutional effect of Mg2+ on the structural and magnetic properties of the films is comprehensively investigated. It is found that with the increase of Mg-doping concentration, the in-plane and out-of-plane lattice constants as well as the cell volume of the LMxNMO thin films increase, which could be ascribed to the radius difference between Mg2+ and Ni2+/Ni3+ ions, resulting in the in-plane compressive stress in LMxNMO films. When the Mg-doping concentration is small (x <= 0.1), the doped Mg2+ tends to substitute Ni3+, which restrains the intensity of antiferromagnetic interaction between Ni3+-O-Mn3+, resulting in the reduced the exchange bias field as well as the increased the saturation magnetization. However, when the Mg-doping concentration increases to x >= 0.2, Mg2+ becomes to mainly replace Ni2+ position, which could inhibit the super-exchange ferromagnetic interaction between Ni2+-O-Mn4+ magnetic paths and thus reduce the saturation magnetization. The enhanced magnetic properties can be obtained in the LM0.1NMO double-perovskite thin film, with a large saturation magnetization of 492.12 emu/cm(3) and a high Curie temperature of 262.7 K.