A set of magnesium films ranging in thickness from submonolayer to a few tens of atomic layers grown on single-crystal W(110) has revealed film-thickness dependent splitting of states localized energywise close to the magnesium surface state. Literature refers to several models describing the origin of this splitting; in one case, it is treated as substrate-induced spin-orbit splitting, and in another, as due to formation of nondegenerate pairs of even and odd surface states penetrating deep into the film bulk. The proposed models draw upon studies of films more than five monolayers thick. A comparative investigation of the Mg/W(110) and Mg/Mo(110) systems has been carried out for magnesium films of different, starting from submonolayer, thicknesses, which did not substantiate the spin-orbit origin of this splitting and suggests instead formation on the substrate-film interface of hybridized states, with their variation with thickness being assigned to variation in the contribution due to the magnesium surface states.