Question

Oxidation and reduction reaction always occur together,then which is the reduction reaction in Mg+O2-MgO

Answer 1

O2- is the reduction

Answer 2

Redox reactions are those in which oxidation and reduction both are taking place simultaneously. So no, all the oxidation or reduction reaction are not redox reactions but for a reaction to be redox,oxidation and reduction both should take place.
O2 is the reduction