Adsorption of CO to the MgO surface modeled by MgnOn (n=4, 6, 9, 10) clusters was investigated employing the density functional method, and modes of bonding, adsorption energies, and CO exchange mechanisms were discussed. The atoms at the low coordination sites possess the small amount of charges consistent with the crystal field theory. The adsorption to such sites results in large stabilization though the magnitude is less remarkable than in the case of hydrogen adsorption. A possible mechanism for the CO exchange reaction, observed experimentally, is presented based on the energetics calculated. The CO’s adsorbed and in the gas phase are exchangeable through the two-molecule adsorption state, which is realized at the edge site or the O-atom defect site. For the latter, the structure of the intermediate is more consistent with the IR measurement.