Modern emerging technologies, such as additive manufacturing, bioprinting, and new material production, require novel metrology tools to probe fundamental high-speed dynamics happening in such systems. Here we demonstrate the application of the megahertz (MHz) European X-ray Free-Electron Laser (EuXFEL) to image the fast stochastic processes induced by a laser on water-filled capillaries with micrometer-scale spatial resolution. The EuXFEL provides superior contrast and spatial resolution compared to equivalent state-of-the-art synchrotron experiments. This work opens up new possibilities for the characterization of MHz stochastic processes on the nanosecond to microsecond time scales with object velocities up to a few kilometers per second using XFEL sources.