X-ray time-resolved tomography is one of the most popular X-ray techniques to probe dynamics in three dimensions (3D). Recent developments in time-resolved tomography opened the possibility of recording kilohertz-rate 3D movies. However, tomography requires rotating the sample with respect to the X-ray beam, which prevents characterization of faster structural dynamics. Here, we present megahertz (MHz) X-ray multi-projection imaging (MHz-XMPI), a technique capable of recording volumetric information at MHz rates and micrometer resolution without scanning the sample. We achieved this by harnessing the unique megahertz pulse structure and intensity of the European X-ray Free-electron Laser with a combination of novel detection and reconstruction approaches that do not require sample rotations. Our approach enables generating multiple X-ray probes that simultaneously record several angular projections for each pulse in the megahertz pulse burst. We provide a proof-of-concept demonstration of the MHz-XMPI technique's capability to probe 4D (3D+time) information on stochastic phenomena and non-reproducible processes three orders of magnitude faster than state-of-the-art time-resolved X-ray tomography, by generating 3D movies of binary droplet collisions. We anticipate that MHz-XMPI will enable in-situ and operando studies that were impossible before, either due to the lack of temporal resolution or because the systems were opaque (such as for MHz imaging based on optical microscopy).