We report on the persistent photoconductivity accompanied with a steep insulator-to-metal transition at low temperatures in ZnO/Mg0.15Zn0.85O heterostructures. The photoexcited electrons were confined in the ZnO adjacent to the Mg0.15Zn0.85O to form a two-dimensional electron gas (2DEG). The electron density was controlled either by the power or number of ultraviolet laser pulses (266 nm wavelength) irradiated to the sample. The 2DEG exhibits Shubnikov-de Haas oscillation in magnetoresistance, whose oscillation periods coincide with the electron density evaluated by Hall effect measurements.