The structural properties of the SrFe2As2 and CaFe2As2 compounds have been extensively analyzed by transmission electron microscopy (TEM) from room temperature down to 20K. The experimental results demonstrate that the SrFe2As2 crystal, in consistence with previous x-ray data, has a tetragonal structure at room temperature and undergoes a tetragonal (T)-orthorhombic (O) phase transition at about 210K. Moreover, twinning lamella arising from T-O transition evidently appears in the orthorhombic phase. On the other hand, TEM observations of CaFe2As2 reveal the presence of a pseudo-periodic structural modulation with the periodicity of around 40nm at room temperature. This modulation is likely in connection with the local structural distortions within the Ca layer. In-situ cooling TEM observations of CaFe2As2 reveal the presence of complex domain structures in the low-temperature orthorhombic phase.