Lipid-water mixtures were studied by X-ray cryo-diffraction in order to assess the structural changes during freezing. We show that the water of aqueous lipid phases, in the concentration range of 10-30% (water weight/total weight), is vitrified by high-pressure freezing. Vitrified lipid phases can be cryo-sectioned and imaged by electron cryo-microscopy. Both the ideal or average and the real or local structures of the lipid mixtures can be studied at a resolution better than 2 nm. While the average structure of the lipid phases is in good agreement with that determined by X-ray diffraction, the local structure reveals features that might play an important role in the function of biological membranes such as in endo- and exocytosis.