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Liquid microjets are a common means of delivering protein crystals to the focus of X-ray free-electron lasers (FELs) for serial femtosecond crystallography measurements. The high X-ray intensity in the focus initiates an explosion of the microjet and sample. With the advent of X-ray FELs with megahertz rates, the typical velocities of these jets must be increased significantly in order to replenish the damaged material in time for the subsequent measurement with the next X-ray pulse. This work reports the results of a megahertz serial diffraction experiment at the FLASH FEL facility using 4.3 nm radiation. The operation of gas-dynamic nozzles that produce liquid microjets with velocities greater than 80 m s$^{−1}$ was demonstrated. Furthermore, this article provides optical images of X-ray-induced explosions together with Bragg diffraction from protein microcrystals exposed to trains of X-ray pulses repeating at rates of up to 4.5 MHz. The results indicate the feasibility for megahertz serial crystallography measurements with hard X-rays and give guidance for the design of such experiments.