We present the results of the characterization of Mg/Co periodic multilayers and their thermal stability for the EUV range. The annealing study is performed up to a temperature of 400degree C. Images obtained by scanning transmission electron microscopy and electron energy loss spectroscopy clearly show the good quality of the multilayer structure. The measurements of the EUV reflectivity around 25 nm (~49 eV) indicate that the reflectivity decreases when the annealing temperature increases above 300degreeC. X-ray emission spectroscopy is performed to determine the chemical state of the Mg atoms within the Mg/Co multilayer. Nuclear magnetic resonance used to determine the chemical state of the Co atoms and scanning electron microscopy images of cross sections of the Mg/Co multilayers reveal changes in the morphology of the stack from an annealing temperature of 305degreee;C. This explains the observed reflectivity loss.