X-ray free-electron lasers (XFELs) enable novel experiments because of their high peak brilliance and femtosecond pulse duration. However, non-superconducting XFELs offer repetition rates of only 10-120 Hz, placing significant demands on beam time and sample consumption. We describe serial femtosecond crystallography experiments performed at the European XFEL, the first MHz repetition rate XFEL, delivering 1.128 MHz X-ray pulse trains at 10 Hz. Given the short spacing between pulses, damage caused by shock waves launched by one XFEL pulse on sample probed by subsequent pulses is a concern. To investigate this issue, we collected data from lysozyme microcrystals, exposed to a ~15 μm XFEL beam. Under these conditions, data quality is independent of whether the first or subsequent pulses of the train were used for data collection. We also analyzed a mixture of microcrystals of jack bean proteins, from which the structure of native, magnesium-containing concanavalin A was determined.