A transmission electron microscopy (TEM) study has been carried out on an MgB2/α-Al2O3 film that exhibits the typical property of critical current density (Jc) under magnetic fields. The MgB2 layer of 300 nm in thickness was grown on a (001)α-Al2O3 substrate using an in situ electron beam evaporation method. Jc of the film takes significantly high values when the applied magnetic field is perpendicular to the film surface. The MgB2 layer consists of fine columnar MgB2 crystals 20–30 nm in size. The columnar MgB2 crystals grow almost perpendicular to the substrate surface and have no crystallographic orientation relationship with the α-Al2O3 substrate because of an amorphous layer formed first on the substrate. A high density of columnar grain boundaries within the MgB2 layer may be effective for the enhancement of the flux-pinning under the perpendicular magnetic field.