In this study, we investigated the methanol conversion (the main product of methane partial oxidation) into olefins over Mg-HZSM-5/Al2O3 zeolite catalyst in the alkanes medium. The composition of the alkanes was constant and consisted of 85 wt% of methane, the product of its partial oxidation, and 15 wt% of C2–C4 alkanes, which are contained in the original natural gas. The effect of water on the synthesis of light olefins was carried out using a water/methanol mixture at water/methanol from 0 to 1.5 in a vapor-gas stream. Using C1–C4 alkanes as a medium contributes to the methanol conversion to higher molecular weight hydrocarbons. It was found that the presence of water led to increased light olefins formation. C2–C4 olefins were obtained with a selectivity of 77% at a methanol conversion close to 99%.