Line shapes of the magnesium resonance lines in white dwarf spectra are determined by the properties of magnesium atoms and the structure of the white dwarf atmosphere. Through their blanketing effect, these lines have a dominant influence on the model structure and thus on the determination from the spectra of other physical parameters that describe the stellar atmosphere and elemental abundances. In continuation of previous work on Mg+He lines in the UV, we present theoretical profiles of the resonance line of neutral Mg perturbed by He at the extreme density conditions found in the cool largely transparent atmosphere of DZ white dwarfs. We accurately determined the broadening of Mg by He in a unified theory of collisional line profiles using ab initio calculations of MgHe potential energies and transition matrix elements among the singlet electronic states that are involved for the observable spectral lines. We computed the shapes and line parameters of the Mg lines and studied their dependence on helium densities and temperatures. We present results over the full range of temperatures from 4000 to 12000K needed for input to stellar spectra models. Atmosphere models were constructed for a range of effective temperatures and surface gravities typical for cool DZ white dwarfs. We present synthetic spectra tracing the behavior of the Mg resonance line profiles under the low temperatures and high gas pressures prevalent in these atmospheres. The determination of accurate opacity data of magnesium resonance lines together with an improved atmosphere model code lead to a good fit of cool DZ white dwarf stars. The broadening of spectral lines by helium needs to be understood to accurately determine the H/He and Mg/He abundance ratio in DZ white dwarf atmospheres. We emphasize that no free potential parameters or ad hoc adjustments were used to calculate the line profiles.