MgO based magnetic tunnel junctions are prepared to investigate the dielectric breakdown of the tunnel barrier. The breakdown is directly visualized by transmission electron microscopy measurements. The broken tunnel junctions are prepared for the microscopy measurements by focussed ion beam out of the junctions characterized by transport investigations. Consequently, a direct comparison of transport behavior and structure of the intact and broken junctions is obtained. Compared to earlier findings in Alumina based junctions, the MgO barrier shows much more microscopic pinholes after breakdown. This can be explained within a simple model assuming a relationship between the current density at the breakdown and the rate of pinhole formation.