Magnesium diboride, MgB2, was recently observed to become superconducting(1) at 39 K, which is the highest known transition temperature for a non-copper-oxide bulk material. Isotope-effect measurements, in which atoms are substituted by isotopes of different mass to systematically change the phonon frequencies, are one of the fundamental tests of the nature of the super-conducting mechanism in a material. In a conventional Bardeen-Cooper-Schrieffer (BCS) superconductor, where the mechanism is mediated by electron-phonon coupling, the total isotope-effect coefficient (in this case, the sum of both the Mg and B coefficients) should be about 0.5. The boron isotope effect was previously shown to be large(2) and that was sufficient to establish that MgB2 is a conventional superconductor, but the Mg effect has not hitherto been measured. Here we report the determination of the Mg isotope effect, which is small but measurable. The total reduced isotope-effect coefficient is 0.32, which is much lower than the value expected for a typical BCS superconductor. The low value could be due to complex materials properties, and would seem to require both a large electron-phonon coupling constant and a value of mu* (the repulsive electron-electron interaction) larger than found for most simple metals.