Magnesium-doped cobalt ferrite nanopowders (Co(1–x)Mg(x)Fe2O4, x = 0.0, 0.2, 0.4, 0.6, 0.8, 1.0) were successfully prepared via gel process then annealed at 700 °C. In this study, the gel process used polyethylene glycol as a non-ionic surfactant to decrease the surface tension of ferrite nanoparticles. The structural, morphological, and magnetic properties and electrochemical behavior were characterized by X-ray diffraction (XRD), Fourier transform infrared spectroscopy (FT-IR), field emission scanning electron microscopy (FE-SEM), vibrating sample micrometer (VSM), and cyclic voltammograms (CV). The XRD analysis showed that along with the formation of the single-spinel phase (Fd3m space group) with the amount of α-Fe2O3 phase. The crystalline size (D), X-ray density (ρX-ray), experimental and theoretical lattice parameter (aexp, ath), ionic radius (r), and the bond length (d) of both tetrahedral (A) sites, and octahedral [B] sites, tetrahedral edge (dAxE), and shared and unshared octahedral edge (dBxE, dBxEU) have been calculated. The crystalline size (D) of the samples evaluated using Scherrer’s formula found variation in the range of 15–17 nm. The structural parameters of the prepared samples decreased with the increase in Mg content. FT-IR absorption spectra have shown two fundamental absorption bands υ1 and υ2 around 600 and 380 cm−1 characteristics of ferrite samples. The tetrahedral and octahedral force constants KA and KB were estimated using FT-IR band frequencies and compared to the trend of FeO bond lengths for both sites. FE-SEM analysis shows almost a spherical shape and an inhomogeneous distribution with sizes varying from < 19 to > 23 nm. The saturation magnetization (Ms) and remnant magnetization (Mr) decreased with increasing Mg substitution. At lower Mg substitutions (0.2 ≤ x ≤ 0.4), coercivity (Hc) increases, while it decreases at higher Mg substitutions (x ≥ 0.6). The change in VSM behavior from ferromagnetic to paramagnetic was observed due to the redistribution of magnetism ions in Co ferrites. The study of CV of synthesized Co–Mg ferrite has been examined to assay the semiconductor’s behavior of Co–Mg ferrite concerning its electromagnetic properties. A CV study indicated that the specific capacitance of magnesium-substituted cobalt ferrite was higher than that of pure cobalt ferrite nanoparticles. The specific capacitance of the pure cobalt ferrite and the magnesium-doped cobalt ferrite nanoparticles were obtained as 15.58 and 99.45 F/g, respectively. The specific capacitances and magnetic measurements suggested that these nano-materials are potential candidates for pseudo capacitors, semiconductors, energy storage devices, and sensor applications.