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Cu-Al composites are widely applied materials exhibiting advanced properties of both matrix metals. Controlling the brittle interfacial phases is a key factor in improving the interfacial strength of Cu-Al composites. This paper studied the interfacial formation process of Cu-Al composites fabricated by continuous composite casting. The phase formation sequence, growth direction and formation mechanism were clarified via element marking and thermodynamic calculations. The spatial distribution of the interfacial phases from the aluminum side to the copper side is as follows: the α + θ layer (α-Al + CuAl₂), the θ layer (CuAl₂) and the γ layer (Cu₉Al₄). Moreover, insular η phases (CuAl) and δ phases (Cu₃Al₂) exist in the γ phase sublayer. The formation sequence of interfacial phases is as follows: the θ phase, the η phase, the δ phase and the γ phase. The θ layer and α + θ layer are transformed from a liquid diffusion layer formed by scouring the surface of copper with liquid aluminum, the η and δ phases grow towards the θ layer and the γ phase simultaneously grows towards both the copper matrix and the θ layer.