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Doping effects of nano-diamond and carbon nanotubes (CNTs) on critical current density of bulk MgB2 have been studied. CNTs are found prone to be doped into the MgB2 lattice whereas nano-diamond tends to form second- phase inclusions in the MgB2 matrix, leading to a more significant improvement of J(c)( H) by doping by nano-diamond than by CNTs in MgB2. TEM reveals tightly packed MgB2 nanograins (50 - 100 nm) with a dense distribution of diamond nanoparticles (10 - 20 nm) inside MgB2 grains in nano-diamond-doped samples. Such a unique microstructure leads to a flux pinning behaviour different from that in CNTs-doped MgB2.