In this work, we fabricated an all-solid-state nano lithium battery MnFe2O4/graphene–Li2O–Li to understand the electrochemical Li-storage mechanism and performance of MnFe2O4 using in situ transmission electron microscopy (TEM) technique. We found that single-crystalline MnFe2O4 is converted into polycrystalline Li2O/Mn/Fe with large volume expansion upon discharge and subsequently into polycrystalline MnO/Fe3O4 with volume shrinkage upon charge. Reversible conversion between MnO/Fe3O4 and Li2O/Mn/Fe occurs during the following cycles with small volume changes. We also found that both MnO/Fe3O4 and Li2O/Mn/Fe can be tightly confined by graphene despite the volume change and particle pulverization, and that free space that buffers the volume changes still exists even at deep lithiation state. In situ TEM characterization also indicates that graphene is a good conductor for both Li ion and electrons. The combined conducting, buffering and confining effects of graphene revealed by in situ TEM characterization can well explain the role it plays in improving the electrochemical properties of MnFe2O4.