We introduce mixed Morrey spaces and show some basic properties. These properties extend the classical ones. We investigate the boundedness in these spaces of the iterated maximal operator, the fractional integtral operator and singular integral operator. Furthermore, as a corollary, we obtain the boundedness of the iterated maximal operator in classical Morrey spaces. We also establish a version of the Fefferman--Stein vector-valued maximal inequality and some weighted inequalities for the iterated maximal operator in mixed Lebesgue spaces. We point out some errors in the proof of the existing literature.