Phase transitions of electron-hole pairs on semiconductor/conductor interfaces determine fundamental properties of optoelectronics. To investigate interfacial dynamical transitions of charged quasiparticles, however, remains a grand challenge. By employing ultrafast mid-infrared microspectroscopic probes to detect excitonic internal quantum transitions and two-dimensional atomic device fabrications, we are able to directly monitor the interplay between free carriers and insulating interlayer excitons between two atomic layers. Our observations reveal unexpected ultrafast formation of tightly bound interlayer excitons between conducting graphene and semiconducting MoSe2. The result suggests carriers in the doped graphene are no longer massless, and an effective mass as small as one percent of free electron mass is sufficient to confine carriers within a 2D hetero space with energy 10 times larger than the room-temperature thermal energy. The interlayer excitons arise within 1 ps. Their formation effectively blocks charge recombination and improves charge separation efficiency for more than one order of magnitude.