Incorporation of various elements in ZnO to modulate its optical and electrical properties is crucial for applications of the resulting alloys in optoelectronics. In particular, the co-incorporation of magnesium Mg and aluminum Al in ZnO to form the quaternary Zn1−x−yMgxAlyO makes it possible to modulate the bandgap by Mg incorporation, and to control the electrical conductivity by Al incorporation. In this article, are presented the results of Zn1−x−yMgxAlyO deposition by ultrasonic spray pyrolysis, using nontoxic and easily available precursors, and the study of the thin films structural, optical, and electrical properties. The deposition parameters are optimized in order to obtain wurtzite single-phase thin films with bandgap increasing with composition and transparency, higher than 90%, in a wide wavelength range. The electrical properties variation exhibits two competing regimes due to the co-incorporation of Al and Mg. On the one hand, the Al incorporation tends to increase the free carrier concentration, and, on the other hand, the Mg incorporation induces a bandgap increase and the inhibition of shallow donors by a compensation mechanism decreasing the carrier concentration. The high transparency of the wurtzite single-phase films along with the modulation of the bandgap and electrical properties can be interesting for optoelectronic applications, in particular in all-oxide solar cells and detectors.