The effect of doping with nano-MgO and co-doping with nano-MgO–Gd2O3 on the densification behavior, mechanical properties, and dielectric behavior of alumina was evaluated. Magnesium oxide-doped alumina nanoparticles were prepared by the sol-gel method with varying nano-MgO ratios (5, 6, and 7 mass %). Alumina samples containing 7 mass % MgO showed the highest densification and exhibited the greatest mechanical strength due to reduced porosity (3.22 % for 1750 °C). The doping of alumina with nano-MgO also improved the breakdown voltage and resistivity. Co-doping of alumina also enhanced the densification and mechanical properties of sintered samples. The sample co-doped with a low content of nano-MgO–Gd2O3 (7 and 1 mass %, respectively) and sintered at 1750 °C for 1 h displayed the best properties among the studied samples. They exhibited the best electrical properties, with the highest breakdown voltage and resistivity, and the lowest permittivity and dielectric loss.