The structural phase transition occurring in the highly ordered complex perovskite $Pb_2MgWO_6$ has been investigated by X-ray diffraction, transmission electron microscopy, dielectric constant and DSC measurements. Just below the transition temperature(at 39℃), we could observe the diffraction pattern of which crystal symmetry is different from that of the low temperature phase. From the above results, it is inferred that two successive phase transitions, Cubic phase--Intermediate phase--orthorhombic phase, occur in $Pb_2MgWO_6$. Also we can conclude that the symmetry of this crystal is orthorhombic with lattice parameters, a=5.6944A, b=11.377A, c=7.915A at room temperature. In addition, a tentative structural model based on the superposition of two different modulations which is $q_1$=110 and $q_2=\frac{1}{2} \frac{1}{2}$ 0 has been proposed to explain the superstructure of the low temperature phase. Finally a phenomenological approach to characterize the cubic-intermediate phase transition is attempted to clarify the temperature dependence of the strain and the pressure dependence of the transition temperature.