Soil structure has strong effect on hydro-mechanical properties of soils, particularly in the case of expansive clays. Along the wetting–drying path, expansive clays undergo significant volume changes that can pose serious challenges for infrastructures built on them. Moreover, the hydro-mechanical behaviour of intact, compacted, and reconstituted expansive clay exhibits notable differences. In this study, the effect of natural soil structure of intact Mile expansive clay on water retention behaviour was studied by comparing two states of Mile clay, intact and compacted states. The corresponding water retention behavior along the main wetting and drying paths were analysed and compared. Utilizing scanning electron microscope and mercury intrusion porosimetry tests, the different water retention behaviours observed between intact and compacted Mile clay were further elucidated from a microstructural aspect. It shows that bonding between and within soil aggregates in intact Mile clay constrained volume changes in specimens along the drying and wetting paths. Along these paths, the volume of micropores in intact specimens was consistently larger than that of compacted specimens, resulting in a good water retention behavior, particularly along the main wetting path. Volume changes of intact and compacted specimens were primarily driven by changes in macropore volume. Only when specimens become unsaturated, the changes in micropore volume became significant. At very high suction, the effect of bonding between and within soil aggregates diminished, which was possibly due to the destruction of bonding, resulting in similar water retention properties for intact and compacted specimens.