Structure of Zr/Mg multilayer x-ray mirrors (MXMs) deposited by direct-flow magnetron sputtering is studied by x-ray diffraction methods. X-ray diffraction curve ($\lambda$ = 0.154 nm) has one diffraction peak (2$\theta \cong$ 34.6°) and, at least, two superlattice satellites within the range 31°–38°. It means that Zr/Mg MXMs scatter x-rays coherently due to low mismatch (1.2%) between the lattice parameters of Mg and Zr layers and high level of multilayer periodicity. In this work, for the first time, processing and analysing coherent diffraction data are applied to describe features of MXMs grows. Obtained results in combination with low-angle x-ray diffraction data allow determining the thickness ($H_{\textrm{Mg}}$ < 5.2 nm), for which magnesium layers are discontinuous. As demonstrated, the Zr/Mg MXMs with the Mg layers thicker than 5.2 nm have low interface roughness ($\sigma \cong$ 0.4 nm) and can provide high level of reflectance.