Nanocrystalline MgSe thin films have been prepared by varying the quantity of spray solution using the spray pyrolysis technique. The effect of the varying quantity of spray solution on the structural, electrical, morphological and optical properties of MgSe thin films was investigated. The X-ray diffraction studies revealed that the deposited MgSe has a cubic lattice with (111) as the preferred orientation. The optical studies showed that the deposited MgSe exhibited direct optical band gap which varied from 2.45 to 2.75 eV depending on the quantity of spray solution. The electrical resistivity of MgSe decreased with an increase in temperature indicating its semiconducting nature. The electrical resistivity, activation energy and optical band gap energy were found to depend upon the quantity of spray solution. The measurement of thermo-emf with applied temperature gradient across the film confirmed its p-type conductivity.