The Fe:Zn(1-x)Mg(x)Se (x = 0.19, 0.27, and 0.38) solid solutions spectroscopic properties were investigated and laser oscillations were achieved for the first time. The increase of the magnesium concentration in the Fe:ZnMgSe crystal was shown to result in an almost similar long wavelength shift of both absorption and fluorescence spectra of about 60 nm per each 10% of magnesium. With the Fe:ZnMgSe crystal temperature decrease, the fluorescence spectrum maximum shifts towards shorter wavelength resulting mainly from strong narrowing of the longest wavelength fluorescence line. Laser radiation wavelength dependence on the magnesium concentration as well as on temperature was observed. The Fe:ZnMgSe x = 0.38 laser oscillation wavelength increased from 4780 nm at 80 K to 4920 nm at 240 K using the optical resonator without any intracavity spectrally-selective element. In comparison with the Fe:ZnSe laser operating in similar conditions, these wavelengths at both temperatures were shifted by about 500 nm towards mid-IR region.