The position of the critical point determines the top of the liquid-vapor coexistence dome, and it is a physical parameter of fundamental importance in the study of high-energy shocks, including those associated with large planetary impacts. For most major planetary materials, such as oxides and silicates, the estimated position of the critical point is below 1 g /cm³ at temperatures above 5000 K. Here we compute the position of the critical point of one of the most ubiquitous materials: MgO. For this we perform first-principles molecular dynamics simulations. We find the critical density to be in the 0.45-0.6 g /cm³ range and the critical temperature in the 6500-7000 K range. We investigate in detail the behavior of MgO in the subcritical and supercritical regimes, and we provide insight into the structure and chemical speciation. We see a change in Mg-O speciation toward lower degrees of coordination as the temperature is increased from 4000 to 10 000 K. This change in speciation is less pronounced at higher densities. We observe the liquid-gas separation in nucleating nanobubbles at densities below the liquid spinodal. The majority of the chemical species forming the incipient gas phase consists of isolated Mg and O atoms and some MgO and O₂ molecules. We find that the ionization state of the atoms in the liquid phase is close to the nominal charge, but it almost vanishes close to the liquid-gas boundary and in the gas phase, which is consequently largely atomic.