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Single-crystalline magnesium oxide (MgO) is an attractive material of substrates for high-temperature devices and high-temperature superconducting films. However, it is difficult to achieve the direct bonding of MgO/MgO because of its high brittleness and hardness, as well as the weak bonding force between the crystal faces. In this paper, we presented a hydrophilic direct bonding method of MgO by using two-step surface activation and a high-temperature annealing process. The bonding strengths under different annealing temperatures, pressures and times were measured. A high bonding strength (~7 MPa) and a fine bonding interface without any microcracks and voids were obtained after annealing at 1200 °C, 140 min and 4 MPa. The bonding interface was characterized by scanning electron microscopy (SEM) and transmission electron microscopy (TEM). The bonding mechanism of MgO/MgO was also clearly clarified. For the demo application, a MgO sealed cavity was formed by using the direct bonding method which is commonly used in the microelectromechanical systems (MEMS) devices for harsh environment applications.