By advanced analytical transmission electron microscope, an unexpected interdiffusion between magnetron sputtered Fe-Co thin film and Al₂O₃ substrate was detected and systematically investigated in this study. Results show that a new phase of spinel FeAl₂O₄ forms, leading to the formation of interfacial layer. Detailed microstructure characterization reveals the interdiffusion associated with incommensurate structure formation near the interface in the Fe-Co thin film. The interdiffusion and accompanied new phase formation between the Fe-Co thin film and sapphire substrate are detected, and the associated microstructure evolution at the interfacial region is discussed, which may considerably influence the thin film magnetic properties.