Covalent Bond- Covalent bond is formed by the sharing of electrons. For example- molecule is covalently bonded as four hydrogen atoms attached to a carbon atom and the electronegativity difference is not quite large.
As carbon has four electrons in its outermost orbital so carbon can share four-electron to form a covalent bond.
In there is a large difference in electronegativity between magnesium and oxygen. So they form an ionic bond in place of covalent bonds.
Hence, magnesium oxide is not a covalent bond compound.