We report high temperature powder x-ray diffractions studies for MFe₂As₂ (M=Ca, Sr, Eu and Ba) compounds. All these compounds undergo a structural phase transition from tetragonal phase to an unknown phase with temperature. Coexistence of both phases suggests that the phase transition is first order in nature. At high temperatures, the tetragonal and unknown phases coexist over a large temperature regime, which is in contrast to the reported sharp transition at low temperature from the tetragonal to orthorhombic phase.