The thermoelectric performance of CuCr_1-xMg_xO₂ materials in terms of multi-scale defects induced at various Mg dopant concentrations (x = 0–0.3) was thoroughly studied in this paper. At 748 K and for x = 0.05, 0.15, and 0.30, we report the following power factors and thermal conductivities: 175, 213, and 2.3 μW/m K² and 7.85, 5.60, and 3.82 W/m K, respectively. In the low doping regime (x < 0.15), the thermoelectric performance is mainly dependent on hole carriers originated from point defects via Mg substitution on Cr sites, whereas the thermoelectric properties reduce significantly for x ≥ 0.15 due to nanoscale secondary phases (MgCr₂O₄, Cu₂O and CuO) and mesoscale grain boundaries. At 748 K, our CuCr_0.85Mg_0.15O₂ samples exhibit a high figure of merit ZT = 0.028, which is better than those of other CuCr_1-xMg_xO₂ and related delafossite materials. The correlations between the structural and thermoelectric properties of CuCr_1-xMg_xO₂ materials are also discussed in detail.