Magnesium oxide (MgO) is a major component of the Earth's mantle and is expected to play a similar role in the mantles of large rocky exoplanets. At extreme pressures, MgO transitions from the NaCl B1 crystal structure to a CsCl B2 structure, which may have implications for exoplanetary deep mantle dynamics. In this study, we constrain the phase diagram of MgO with laser-compression along the shock Hugoniot, with simultaneous measurements of crystal structure, density, pressure, and temperature. We identify the B1 to B2 phase transition between 397 and 425 gigapascal (around 9700 kelvin), in agreement with recent theory that accounts for phonon anharmonicity. From 425 to 493 gigapascal, we observe a mixed-phase region of B1 and B2 coexistence. The transformation follows the Watanabe-Tokonami-Morimoto mechanism. Our data are consistent with B2-liquid coexistence above 500 gigapascal and complete melting at 634 gigapascal. This study bridges the gap between previous theoretical and experimental studies, providing insights into the timescale of this phase transition.