The stability of MgH2 has been studied up to 20 GPa using density-functional total-energy calculations. At ambient pressure alpha-MgH2 takes a TiO2-rutile-type structure. alpha-MgH2 is predicted to transform into gamma-MgH2 at 0.39 GPa. The calculated structural data for alpha- and gamma-MgH2 are in very good agreement with experimental values. At equilibrium the energy difference between these modifications is very small, and as a result both phases coexist in a certain volume and pressure field. Above 3.84 GPa gamma-MgH2 transforms into beta-MgH2, consistent with experimental findings. Two further transformations have been identified at still higher pressure: (i) beta- to delta-MgH2 at 6.73 GPa and (ii) delta- to epsilon-MgH2 at 10.26 GPa.