Nucleation of multicomponent systems is a pervasive phenomenon in nature and is pertinent to a diverse array of scientific and industrial challenges. The nucleation mechanisms of immiscible multicomponent systems remain unclear. Here, gas hydrate is employed as a model system to study the nucleation of multicomponent systems. The effect of gas/liquid and solid/liquid interfaces on hydrate nucleation is examined through molecular dynamics simulations. The results demonstrate that gas hydrates tend to nucleate in the solution phase in the proximity of the gas/liquid interface at lower temperatures, which is controlled by mass transfer. As the temperature increases, the location of hydrate nucleation gradually shifts from the gas/liquid interface to the solid/liquid interface. We anticipate that the nucleation free energy barrier dominates the hydrate nucleation process at these conditions, making the heterogeneous nucleation with a lower free energy barrier more probable. The findings provide molecular insights into the mechanism and pathway underlying interface-induced gas hydrate nucleation. These insights will inform the development of the theory of gas hydrate nucleation, particularly in the context of heterogeneous nucleation.