We present the first optical observation at sub-milliarcsecond ( mas ) scale of the microquasar SS 433 obtained with the GRAVITY instrument on the VLT interferometer . The 3.5 hour exposure reveals a rich K-band spectrum dominated by hydrogen Br \gamma and He i lines , as well as ( red-shifted ) emission lines coming from the jets . The K-band continuum emitting region is dominated by a marginally resolved point source ( < 1 mas ) embedded inside a diffuse background accounting for 10 % of the total flux . The jet line positions agree well with the ones expected from the jet kinematic model , an interpretation also supported by the consistent sign ( i.e . negative/positive for the receding/approaching jet component ) of the phase shifts observed in the lines . The significant visibility drop across the jet lines , together with the small and nearly identical phases for all baselines , point toward a jet that is offset by less than 0.5 mas from the continuum source and resolved in the direction of propagation , with a typical size of 2 mas . The jet position angle of \sim 80 ^ { \circ } is consistent with the expected one at the observation date . Jet emission so close to the central binary system would suggest that line locking , if relevant to explain the amplitude and stability of the 0.26c jet velocity , operates on elements heavier than hydrogen . The Br \gamma profile is broad and double peaked . It is better resolved than the continuum and the change of the phase signal sign across the line on all baselines suggests an East-West oriented geometry alike the jet direction and supporting a ( polar ) disk wind origin .