A VMgO catalyst (containing 14 wt% vanadium) that is used in the oxidative dehydrogenation of propane (ODHP) reaction has been examined in detail by in situ EXAFS, in situ XRD and HREM. These characterisation techniques have revealed that, as prepared, the catalyst is in effect a three-component system comprising discrete magnesium orthovanadate (Mg-3 V2O8) particles, magnesium oxide and a disordered vanadium-containing overlayer supported on the MgO. When the catalyst is exposed to typical ODHP reaction conditions at 500 degrees C the in situ EXAFS indicates a change in vanadium oxidation state from 5+ to 3+. Under the same conditions, in situ XRD suggests that Mg-3 V2O8 transforms to a cubic spinel type structure with a lattice parameter of 8.42 Angstrom. These changes are reversible on exposure to air at 500 degrees C. HREM shows that the overlayer on MgO changes from a disordered state to a weakly ordered structure after exposure to normal reaction conditions whilst pure propane (strongly reducing conditions) induces pronounced structural ordering of the overlayer. Image simulations have led us to the conclusion that the ordered layer comprises a cubic spinel (MgV2O4) phase in parallel epitaxy with the MgO support. The surface regions of the bulk Mg-3 V2O8 particles are also found to undergo structural modification under typical reaction conditions decomposing to a mixture of MgO crystallites and MgV2O4; strong reduction causes a complete conversion to MgV2O4.