Using in-situ transmission electron microscopy, we have directly observed nano-scale defects formed in ultra-high purity tungsten by low-dose high energy self-ion irradiation at 30K. At cryogenic temperature lattice defects have reduced mobility, so these microscope observations offer a window on the initial, primary damage caused by individual collision cascade events. Electron microscope images provide direct evidence for a power-law size distribution of nano-scale defects formed in high-energy cascades, with an upper size limit independent of the incident ion energy, as predicted by Sand et al. [Eur. Phys. Lett., 103:46003, (2013)]. Furthermore, the analysis of pair distribution functions of defects observed in the micrographs shows significant intra-cascade spatial correlations consistent with strong elastic interaction between the defects.