Molten lithium chloride, supported on various oxides, promotes the catalytic activity for oxidative dehydrogenation (ODH) of ethane. As a first step toward understanding these systems, we use ab initio molecular dynamics to examine the solvation of ethane, ethylene, oxygen, and water in molten lithium chloride supported on magnesium oxide. Among these molecules, only water dissolves readily in molten LiCl. Possible reactions between O2 and LiCl(l) have been studied in an effort to identify an intermediate for the ODH mechanism. We found that the formation of LiClO, LiO2, Li2O, LiOH, and Cl2 requires a substantial increase in the free energy; therefore, we propose that they are not reaction intermediates for ODH. The only process that cannot be ruled out is molecular adsorption of O2 at the LiCl/MgO interface.