We have investigated the structure of (Fe, Co)-Mg-F nano-granular TMR films by HRTEM. These films have nano-granular structure which consists of Co or Fe nano-granules with diameter of 2-3 nm surrounded by thin intergranules of MgF2 with crystal structure. The structure of Co granules is crystalline, whereas the one of Fe is an amorphous state, which may be attributed to small MR ratio of 42 vol%Fe-(Mg0.32F0.68) film compared with the theoretical one calculated from spin polarization (P) of Fe crystal.