Due to partial discharge and overheat, in order to detect oil immersed gas molecules in power transformers to ensure the security and reliability of transformers, density of states have been carried out to find a suitable gas sensor material. In this work, pristine graphene (PG), Mg-doped graphene (MgG) and gas molecules including H₂, C₂H₂ and CH₄ have been optimized. Then, each gas molecule with different orientations was carried out to adsorb on the surface of PG and MgG, respectively. After analyzing the adsorption energy, adsorption distance and charge transfer, it can be found that the adsorption mechanism on MgG is more violently than PG. In addition, the interaction of C₂H₂ on MgG is chemisorption, while H₂ and CH₄ tend to be physical adsorption. Results of density of states (DOS) and molecular orbit analysis indicate that the conductivity and chemical stability of MgG have both been enhanced after adsorption. In conclusion, Mg-doped graphene can be used in the detection of oil immersed gas in transformers.