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The electrophoretic deposition (EPD) of coatings and bulk compacts in a wide range of thicknesses (from 23 to 1800 μm) from stable suspensions of a magnesium-doped aluminum oxide nanopowder with subsequent sintering of samples into dense ceramics was studied. The initial nanopowder was obtained by the method of electric explosion of an Al-Mg alloy wire with a Mg content of 1.3 wt. %. The study of the dispersion composition, kinetics of deaggregation under the ultrasonic treatment and zeta potential in the nanopowder-based suspensions was carried out. It was shown that a nearly linear increase in the deposited mass and thickness of EPD deposits occurred at a constant voltage of 20 V and an average deposition current of approximately 40 μA when the deposition time was varied from 1 to 180 min. Drying of the coatings with a thickness of less than 35 μm led to the formation of a net of small cracks, while drying of the bulk compacts with a thickness of more than 1 mm occurred without cracking. The ceramic bulk sample with a thickness of 1.2 mm and the density of 98.7% TD was successfully obtained by sintering at 1650 °C for 4 h. It was characterized by a dense grain structure with an average grain size of 5 μm and the presence of a small number of closed pores less than 1 μm in size. Sintering of ceramics was revealed to be accompanied by the formation of a MgAl2O4 crystalline spinel phase, localized mainly at grain boundaries.