We show both theoretical and experimental evidences of the appearance of ferromagnetism in MgO thin films. First-principles calculations allow predicting the possibility of the formation of a local moment in MgO, provided the existence of Mg vacancies which create holes on acceptor levels near the O 2p-dominated valence band. Magnetic measurements evidence of the existence of room-temperature ferromagnetism in MgO thin films. High-resolution transmission electron microscopy demonstrates the existence of cation vacancies in our samples. Finally, by applying the element specificity of the x-ray magnetic circular dichroism technique, we also demonstrate that the magnetic moments of the system arise from the spin polarization of the 2p electrons of oxygen atoms surrounding Mg vacancies.