The relationship between the local structure of complex liquids and their response to shear is generally not well understood. This concerns, in particular, the formation of particle strings in the flow direction or hydroclusters, both important for the understanding of shear thinning and thickening phenomena. Here, we present results of a microfocus X-ray scattering experiment on spherical silica colloids in a liquid jet at high shear rates. Along and across the jet, we observe direction-dependent modifications of the structure factor of the suspension, suggesting the formation of differently ordered clusters in compression lines and as particle strings. With increasing distance from the orifice, the structure relaxes to the unsheared case with a typical relaxation 10 times larger as the time scale of Brownian motion. These results provide the first experimental flow characterization of a complex fluid at high shear rates detecting cluster formation and relaxation with micrometer and microsecond resolution.