LuFe O has been the most extensively studied among a series of RFe O (R = Sc, Y, In and Dy to Lu) compounds, which possess both dielectric and magnetic orderings originating in equal numbers of Fe and Fe ions in a triangular lattice. We have prepared LuFe O thin films epitaxially grown on a (111)-oriented YSZ (yttria-stabilized zirconia) substrate via a pulsed laser deposition method and found that the resultant thin film comprises a curious self-assembled interface structure. Our structural analysis at an atomic level by using high-angle annular dark-field scanning transmission electron microscopy and energy dispersive X-ray spectrometry reveals that very thin layers of LuFe O lacking Fe-O layers, corresponding to the hexagonal LuFeO and Lu Fe O compositions, are formed at the interface between the c-axis oriented LuFe O thin film and YSZ substrate with a Lu-rich region just on the surface of the substrate. Such an interfacial structure leads to an exchange bias effect peculiarly observed for an interface formed by different types of magnetic materials. The LuFe O thin film itself shows spin glass transition similar to bulk LuFe O with an off-stoichiometric oxygen ratio. Also, a change in electronic transport behavior between Arrhenius-type and variable range hopping schemes has been observed in the temperature dependence of electrical resistivity around the three-dimensional charge ordering temperature. 2 4 2 4 2 4 2 4 3 2 3 7 2 4 2 4 2 4 2+ 3+