In this study, an interfacial perpendicular magnetic anisotropy (PMA) is achieved in Mo/Co-2 FeAl/MgO/Mo multilayer with good thermal stability up to 400 degrees C by tuning the annealing temperature and film thickness of CFA and MgO. For an optimized CFA film thickness (1.0 nm) and annealing temperature (400 degrees C), the CFA/MgO interface plays a main role in achieving the strong PMA property when the MgO film thickness was tuned from 0.5 nm to 2.0 nm. The effective perpendicular magnetic anisotropy energy density (K-e(ff)) is approximately 1.67 x 10(6) erg/cc when t(MgO) = 2 nm. Surface morphology and surface roughness changes in the films are investigated by atomic force microscopy (AFM). An enhancement in surface smoothness is observed for the annealed films. X-ray photoelectron spectroscopy (XPS) reveals that the strong PMA in Mo/CFA/MgO is originated from the adequate oxidation of Co and Fe at CFA/MgO interface.