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The microstructure of the MgB2 superconductor sintered at high temperature under a high pressure of about 3 GPa was investigated by using a high-resolution transmission electron microscope (HRTEM). The TEM images did not show any pores in the specimen. All grains were compactly connected, and no discernable empty spaces or impurities at the boundaries existed over the regions investigated. The HRTEM image showed clearly each constituent atom that formed the basal hexagonal plane, without any defect in a single grain. The a-axis lattice parameter, 0.307 nm, from this direct measurement was shorter than the value, 0.314 nm obtained from samples prepared using diffusion techniques. A minor impurity phase, which was most probably MgB4 and did not form interfacial layers was also observed, but was well isolated from the main MgB2 phase. Our results verify that the MgB2 powder was sintered under high temperature and high pressure into its theoretical density without any porosity or grain growth.