Al doped TiO2 anatase films epitaxially grown by Pulsed Laser Deposition (PLD) on MgO single crystal substrates have been studied by cross-section transmission electron microscopy. The main structural features of such films are the columnar morphology of the anatase grains and the formation of a spinel buffer layer at the TiO2/MgO interface. The spinel layer is Al rich and displays a steep gradient in Mg composition. Correlation between the microstructure and the optical properties of the films is presented also.