Energy-dispersive x-ray diffraction studies at the Cornell High Energy Synchrotron Source were made to 202 GPa on MgSe which was found to undergo a phase transformation from the rocksalt to the seven-fold coordinated FeSi (or AuBe) structure with new peaks clearly evident at 99 GPa and internal position parameters continuing to change to the highest pressure. This is the first phase transition observed in the three magnesium chalcogenides which have the rocksalt structure at atmospheric pressure (MgSe, MgS and MgO) and may have important implications for transitions of MgO and MgS. The internal atomic positions u and w were accurately obtained as a function of pressure. This is the first accurate determination of internal atom positions above one megabar and above two megabars . The equation of state over the entire range obeyed a Birch equation with B_o = 62. 8± 1. 6 GPa and B_o' = 4. 1 ± 0. 1.