La-added MgFe2O4 (MgFe2−xLaxO4, 0.05 ≤ x ≤ 0.20) and pure MgFe2O4 powders were prepared using a malic acid complex, and their CO sensing properties were examined in dry air in the temperature range of 300–500 °C. It was observed that when the measurement atmosphere was changed from air to CO, the electrical resistance of the MgFe2O4 sensor decreased, whereas that of the MgFe2−xLaxO4 sensor increased, indicating that the MgFe2−xLaxO4 sensor is a p-type semiconductor. It was also observed that the addition of La significantly improved the CO sensitivity of the MgFe2O4 sensor. Among the MgFe2−xLaxO4 sensors examined, the MgFe1.85La0.15O4 sensor exhibited the highest response to CO at 300 °C, and its value was 11.2 times higher than that of the pure MgFe2O4 sensor. However, the MgFe1.85La0.15O4 sensor did not exhibit a rapid response or steady-state electrical resistance in a CO atmosphere at 300 °C. Conversely, at 400 °C, the MgFe1.90La0.10O4 sensor exhibited a higher response to CO than the MgFe1.85La0.15O4 sensor and showed a quick response and a steady-state resistance. Therefore, it can be concluded that the MgFe1.90La0.10O4 sensor exhibited the best CO detection characteristics among the sensors examined.