We demonstrate X-ray phase contrast microscopy performed at the European X-ray Free-Electron Laser sampled at 1.128 MHz rate. We have applied this method to image stochastic processes induced by an optical laser incident on water-filled capillaries with micrometer scale spatial resolution. The generated high speed water jet, cavitation formation and annihilation in water and glass, as well as glass explosions are observed. The comparison between XFEL and previous synchrotron MHz microscopy shows the superior contrast and spatial resolution at the XFEL over the synchrotron. This work opens up new possibilities for the characterization of dynamic stochastic systems on nanosecond to microsecond time scales at megahertz rate with object velocities up to few kilometers per second using X-ray Free-Electron Laser sources.