A theoretical prediction by Wang et al. [Phys. Rev. B 82, 054405 (2010)] suggests the preferential transmission of majority-spin states with Δ1 symmetry across a magnesium interlayer in Fe/Mg/MgO/Fe based magnetic tunnel junctions. Here, we report experiments to probe this question in CoFe/Mg/CoFe structures. We find that the strength of the interlayer coupling decays exponentially with increasing the spacer thickness, however, a non-monotonic variation of the magnetoresistance as a function of the Mg layer is observed. These data may help revisit the role of the insertion of a Mg interface layer in MgO-based devices.