A ZnO/Zn0.8Mg0.2O double barrier resonant tunneling device (DBRTD) is reported here for the first time. The structures consist of a ZnO quantum well, with thicknesses of 6 nm, 8 nm, and 50 nm, placed between two Zn0.8Mg0.2O barriers, with a thickness of 7 nm. The structures were grown by pulsed laser deposition (PLD) on c-cut sapphire substrates. Negative differential resistance (NDR) peaks were obtained at room temperature and at 200 K. The ground states for the wells were evaluated from photoluminescence spectroscopy measurements, and found to be 266.3 meV and 238.8 meV for the 6 rim and 8 nm well respectively. The FWHM of the photoluminescence peaks was found to be 5.3 and 5.6 meV at 77 K, for the 6 nm and 8 nm wells respectively, indicating high quality hetero-interfaces.