You can easily make magnesium carbonate from magnesium oxide by bubbling it in $\ce{CO2}$ gas.
$$\ce{MgO + CO2 → MgCO3}$$
But the problem is that it is impossible to make pure magnesium from magnesium carbonate(@airhuff). Instead, you can reduce magnesium oxide into magnesium using reducing agent such as carbon(@airhuff), beryllium or calcium.
$$\ce{MgO + C -> Mg + CO ; ΔH^{0}_{298}= 491.3 kJ / mol}$$
Reaction between magnesium oxide and carbon to form magnesium and carbon monoxide. The reaction proceeds at a temperature above 2000 ° C.(Source)
$$\ce{MgO + Be ->[\Delta] BeO + Mg}$$
Reaction interaction beryllium and magnesium oxide to form magnesium and beryllium oxide. The reaction proceeds at a temperature of about 1075 ° C.(Source)
$$\ce{Ca + MgO ->[\Delta] CaO + Mg}$$
Reaction between magnesium oxide and calcium to form calcium and magnesium oxide. The reaction proceeds at a temperature of about 1300 ° C.(Source)
Carbon is best for this purpose although it takes much more heat than calcium and beryllium. Beryllium takes the lowest amount of heat but I would recommend against it as beryllium is poisonous and expensive. For this reason, calcium can also be used as an alternative.
Also for these reactions, you need a expensive furnace that conducts such type of reaction and can be found only in metallurgical industry. For this reason, these reaction are not part of simple home experiments and cannot be conducted at home. (@airhuff).