The geometric structure of MgO deposited on Fe(001) in ultrahigh vacuum by electron evaporation was determined in detail by using surface x-ray diffraction. In contrast to the common belief that MgO grows in direct contact on the Fe(001) substrate, we find an FeO interface layer between the substrate and the growing MgO structure which has not been considered thus far. This result opens new perspectives for the understanding of the Fe/MgO/Fe(001) interface and the tunneling magnetoresistance effect in general.