In order to understand the relationship between the microstructures and superconducting properties of MgB2 films, analytical TEM observations have been carried out. The films were fabricated by a KrF excimer laser deposition on Hastelloy substrates precoated with YSZ (yttria-stabilized zirconia). The deposited films were annealed under Ar atmosphere at 873 K for 1 h and at 953 K for 0.5 h. The critical current densities of these films were measured to be Jc=1x105 A/cm2 and Jc=7.7x103 A/cm2 at 4.2 K and 10 T, respectively. The conventional TEM observation showed nanocrystalline MgB2 and MgO of 5-30 nm in size dispersed in the films. Voids with various sizes from 10 to 60 nm were also observed in the films. Two-dimensional elemental analyses exhibited that near the MgB2/YSZ interface the films have a layered structure where the layers enriched with Mg and O have low B concentrations complementarily. The average sizes of the MgB2 and MgO grains and the voids increase with the annealing temperature. The enhancement of Jc value of the film annealed at 873 K may be due to smaller sizes of the MgB2 and MgO grains and voids than those at 953 K.