Gelation-mediated phase separation is applied to prepare immiscible polymer bilayer films with an interlocking interface structure. Polymer systems consisting of copolymer of urea and polydimethylsiloxane and epoxy are selected to demonstrate the feasibility. When the epoxy fraction exceeds 25 wt%, well-defined bilayer structures self-form by a one-pot casting method in which the phase separation state is fixed by an evaporation-induced gelation. Microscopy studies of the resulting bilayers clearly reveal that interlocking structures form during the bilayer films construct. The interlocking structures lead to an enhanced interfacial adhesion and higher fracture energy. The current strategy might offer a facile way to in situ create an interlocking interface between immiscible polymer systems.