Although both mass density and grain connectivity of MgB2 superconducting layers can be greatly improved through an internal Mg diffusion (IMD) process, poor structure uniformity and low MgB2 filling factor of IMD wires limit further enhancement of their superconducting performance. Herein we prepared 19-filament and 37-filament IMD-MgB2 superconducting wires by a combination of optimizing the component structure and introducing the intermediate annealing process. The microstructure analysis suggests that well structure uniformity and high layer density have been achieved in multi-filamentary MgB2 wires; and the MgB2 filling factor reaches up to 9.3-11.0%. The magnetic superconducting transition of MgB2 wires is relatively sharp and the onset Tc is around 37 K. Remarkably, there is no magnetic flux jump for 37-filament wires in low field region at 5 K. At 4.2 K and 4 T, the transport layer Jc values of 19-filament and 37-filament MgB2 wires are as high as 1.5×105 A/cm2 and 2.2×105 A/cm2, respectively, and accordingly engineering Je of 1.7×104 A/cm2 and 2.0×104 A/cm2. These results indicate that the performance of multi-filamentary IMD-MgB2 wires can compete with the traditional PIT-MgB2 wires as applied in the industry.