A light element magnetic tunnel junction with perpendicular magnetic anisotropy (PMA) is crucial for the realization of high thermal stability and low critical switching current in next-generation high-density nonvolatile memory. Using first-principles calculations, we investigate the structure and magnetic anisotropy of a Co2FeAl/NiFe2O4 superlattice. It is found that the most energetically favorable configurations for Co2FeAl(001)/NiFe2O4(001) interfaces are when the interface O atoms in NiFe2O4 are on top of the interface metal atoms in Co2FeAl due to the bonding between interface O atoms in NiFe2O4 and interface metal atoms in Co2FeAl. Interestingly, a large PMA of up to 1.07 mJ m-2 can be obtained at the interface between Co-terminated Co2FeAl and NiO-terminated NiFe2O4 and the interface Co atoms play an important role in establishing the large PMA at the Co2FeAl/NiFe2O4 interface. The d-orbital-resolved magnetic anisotropy energy of interface and surface Co atoms reveals that compared to surface Co, the matrix element differences between dz2 and dyz as well as dx2-y2 and dxy orbitals of the interface Co provide large contributions to the PMA of interface Co, which originates mainly from the different electron occupations of dz2, dyz, dx2-y2 and dxy orbitals between the interface Co and surface Co due to the bonding between interface Co atoms in Co2FeAl and interface O atoms in NiFe2O4. Our results indicate that the Co2FeAl/NiFe2O4 heterostructures are promising candidates for achieving large interfacial PMA in light element heterostructures.