Magnesium oxide (MgO) films and particles have been collected by pressurised filtration of a Mg-8.6wt%Al-0.67wt%Zn (AZ91D) alloy melt. The morphology of the oxides and their interfaces with the α-Mg phase were investigated by high-resolution transmission electron microscopy. It was found that the oxide films consisted of large numbers of sub-micrometre-sized MgO particles, and that melt shearing can effectively break up the oxide films and disperse the oxide particles. For the first time, orientation relationships (ORs) of OR I: [1 1 1]MgO∼2° from (0 0 0 1)α-Mg and (0 1 1)MgO //[2 1 1 0)α-Mg; and OR II: (1 1 1)MgO//(1 1 0 1)α-Mg and [0 1 1]MgO//[1 2 1 1]α-Mg, were observed between the MgO particles and the α-Mg matrix. The calculated Bramfitt planar disregistries were 5.5% and 2.5% for the two ORs, respectively, indicating good lattice matching between MgO and α-Mg at the interface. With the evidence of grain refinement effect observed in the sheared AZ91D magnesium alloy, the possibility of MgO particles to act as potent nucleants for heterogeneous nucleation of α-Mg grains is discussed in terms of the crystallographic criterion.