A cold cathode magnetron injection gun has been designed and constructed. A relativistic electron beam up to 200 keV, with beam current 150 A and pulse width 1 µs, is obtained. The parameters of the beam are located between those of REB diodes and those of usual hot-cathode magnetron injection guns. We have measured the electron beam in some detail, and the beam efficiency, i.e., the beam current divided by the cathode current, is about 40%. Part of the cathode current flows into the anode. It is found that, although the anode current is unavoidable, it does not necessarily cause breakdown between the electrodes. It is emphasized that the beam obtained in the present work will be extremely useful for devices involving relativistic electronics, e.g., gyrotrons, free electron lasers and intense X-ray generators.