Recent proper motion studies of stars at the very center of the Galaxy strongly suggest that Sagittarius (Sgr) A*, the compact nonthermal radio source at the Galactic Center, is a 2.5 million solar mass black hole. By means of near-simultaneous multi-wavelength Very Long Baseline Array measurements, we determine for the first time the intrinsic size and shape of Sgr A* to be 72 Rsc by < 20 Rsc, with the major axis oriented essentially north-south, where Rsc (= 7.5 x 10^{11} cm) is the Schwarzschild radius for a 2.5 million solar mass black hole. Contrary to previous expectation that the intrinsic structure of Sgr A* is observable only at wavelengths shorter than 1 mm, we can discern the intrinsic source size at 7 mm because (1) the scattering size along the minor axis is half that along the major axis, and (2) the near simultaneous multi-wavelength mapping of Sgr A* with the same interferometer makes it possible to extrapolate precisely the minor axis scattering angle at 7 mm. The intrinsic size and shape place direct constraints on the various emission models for Sgr A*. In particular, the advection dominated accretion flow model may have to incorporate a radio jet in order to account for the structure of Sgr A*.