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We present a direct measurement of extinction curves using corrected $Gaia$ XP spectra of the common sources in $Gaia$ DR3 and LAMOST DR7. Our analysis of approximately 370 thousand high-quality samples yielded a high-precision average extinction curve for the Milky Way. After incorporating infrared photometric data from 2MASS and WISE, the extinction curve spans wavelengths from 0.336 to 4.6 $\mu$m. We determine an average $R_{55}$ of $2.730 \pm 0.007$, corresponding to $R_V= 3.073 \pm 0.009$, and a near-infrared power-law index $\alpha$ of $1.935 \pm 0.037$. Our study confirmed some intermediate-scale structures within the optical range. Two new features were identified at 540 and 769 nm, and their intensities exhibited a correlation with extinction and $R_V$. This extinction curve can be used to investigate the characteristics of dust and enhance the extinction correction of Milky Way stars. A Python package for this extinction curve is available.