High quality magnesium-doped potassium lithium niobate (designated as KLN:Mg) single crystal was grown for the first time. The tetragonal tungsten bronze structure of the Mg:KLN crystal was determined by X-ray powder diffraction, in which the lattice parameters were a = 1.262 nm and c = 0.398 nm. High temperature X-ray diffraction patterns showed that the expansion of the lattice with increasing temperature was less than that of the undoped crystal. The transmittance of the as-grown crystal was measured. It increased by 80% from the cutoff wavelength 380 nm to 450 nm. The transmittance for 404 nm was 50%, which is larger than that of the undoped crystals. The frequency-doubling property of KLN crystal was analyzed. Preliminary frequency doubling experiments showed that the crystal could generate blue light of 404 nm through noncritical phase matching (NCPM) second harmonic generation (SHG) using a 808 nm diode laser at room temperature.