The self-assembled formation of ordered, vertically stacked rocksalt/wurtzite Mg_xZn_1-xO heterostructures by planar phase separation is shown. These heterostructures form quasi "natural" two-dimensional hetero-interfaces between the different phases upon annealing of MgO-oversaturated wurtzite Mg_xZn_1-xO layers grown by plasma-assisted molecular beam epitaxy on c-plane sapphire substrates. The optical absorption spectra show a red shift simultaneous with the appearance of a cubic phase upon annealing at temperatures between 900°C and 1000°C. Transmission electron microscopy reveals that these effects are caused by phase separation leading to the formation of a vertically ordered rock salt/wurtzite heterostructures. To explain these observations, we suggest a phase separation epitaxy model that considers this process being initiated by the formation of a cubic (Mg,Zn)Al₂O₄ spinel layer at the interface to the sapphire substrate, acting as a planar seed for the epitaxial precipitation of rock salt Mg_xZn_1-xO. The equilibrium fraction x of magnesium in the resulting wurtzite (rock salt) layers is approximately 0.15 (0.85), independent of the MgO content of the as-grown layer and determined by the annealing temperature. This model is confirmed by photoluminescence analysis of the resulting layer systems after different annealing temperatures. In addition, we show that the thermal annealing process results in a significant reduction in the density of edge- and screw-type dislocations, providing the possibility to fabricate high quality templates for quasi-homoepitaxial growth.