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Magnesium atoms in liquid helium have been hypothesized to form a metastable foam structure, in which a layer of helium atoms surrounds each magnesium atom, inhibiting their coalescence into a compact cluster. This conjecture is based on the weak interaction between the magnesium atoms themselves and with the helium atoms and was used to explain observations in femtosecond two-photon ionization experiments by different groups. However, this theory is incongruent with previous infrared spectroscopic observations, indicating the formation of tightly bound clusters when different atoms and molecules combine inside liquid helium. In this paper, we report the spectra (from 210 to 2210 nm) of magnesium-doped superfluid helium nanodroplets at different averaged droplet sizes and number of dopants. The measured spectra in this study are consistent with the formation of compact magnesium clusters rather than the metastable foam structure.