LuFe₂O₄ has been the most extensively studied among a series of RFe₂O₄ (R = Sc, Y, In and Dy to Lu) compounds, which possess both dielectric and magnetic orderings originating in equal numbers of Fe²⁺ and Fe³⁺ ions in a triangular lattice. We have prepared LuFe₂O₄ 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 LuFe₂O₄ lacking Fe–O layers, corresponding to the hexagonal LuFeO₃ and Lu₂Fe₃O₇ compositions, are formed at the interface between the c-axis oriented LuFe₂O₄ 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 LuFe₂O₄ thin film itself shows spin glass transition similar to bulk LuFe₂O₄ 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.