Native MgO particles in Mg-alloy melts have been recently exploited as potential substrates for heterogeneous nucleation during solidification, leading to significant grain refinement of various Mg-alloys. However, our current knowledge of the nature of the native MgO particles is still limited. In this work, we study both the physical and chemical nature of the native MgO in commercial purity Mg and Mg-9Al alloy by means of advanced electron microscopy. We found that as oxidation products MgO aggregates exist in the alloy melt in three different forms: dominantly young oxide film, occasionally old oxide film and ingot skin, all consisting of discrete nano-sized MgO particles. Detailed analysis shows that the native MgO particles have an octahedral or cubic morphology, a nano-scale particle size and a log-normal size distribution. The mechanisms underlying the formation of the two types of MgO were investigated, and we found that octahedral MgO is formed by oxidation of Mg melt and cubic MgO by oxidation of Mg vapor. With a large lattice misfit with a-Mg, the native MgO particles are impotent for heterogeneous nucleation, but can be made effective for grain refinement.