Background: Wolbachia α-proteobacteria are essential for growth, reproduction and survival for many filarial nematode parasites of medical and veterinary importance. Endobacteria were discovered in filarial parasites by transmission electron microscopy in the 1970's using chemically fixed specimens. Despite improvements of fixation and electron microscopy techniques during the last decades, methods to study the Wolbachia/filaria interaction on the ultrastructural level remained unchanged and the mechanisms for exchange of materials and for motility of endobacteria are not known. Methodology/Principal Finding: We used high pressure freezing/freeze substitution to improve fixation of Brugia malayi and its endosymbiont, and this led to improved visualization of different morphological forms of Wolbachia . The three concentric, bilayer membranes that surround the endobacterial cytoplasm were well preserved. Vesicles with identical membrane structures were identified close to the endobacteria, and multiple bacteria were sometimes enclosed within a single outer membrane. Immunogold electron microscopy using a monoclonal antibody directed against Wolbachia surface protein-1 labeled the membranes that enclose Wolbachia and Wolbachia-associated vesicles. High densities of Wolbachia were observed in the lateral chords of L4 larvae, immature, and mature adult worms. Extracellular Wolbachia were sometimes present in the pseudocoelomic cavity near the developing female reproductive organs. Wolbachia-associated actin tails were not observed. Wolbachia motility may be explained by their residence within vacuoles, as they may co-opt the host cell's secretory pathway to move within and between cells. Conclusions/Significance: High pressure freezing/freeze substitution significantly improved the preservation of filarial tissues for electron microscopy to reveal membranes and sub cellular structures that could be crucial for exchange of materials between Wolbachia and its host.