The effect of the temperature of thermal pretreatment of the precursors of the Cr–Mg catalyst on its physicochemical properties (specific surface area and elemental composition) and catalytic properties has been experimentally investigated. The dehydration of the precursor takes place up to a temperature of ~500°С, making it possible to tune the catalyst composition by varying the heat-treatment temperature. The samples prepared from precursors with various compositions differ in their specific surface area and catalytic activity. The highest activity is shown by the catalyst prepared by heat treatment of the precursor at 330°С.