Employing density functional theory combined with the non-equilibrium Greenʼs function formalism, we systematically investigate the structural, magnetic and magnetoelectric properties of the Co2FeAl(CFA)/MgO interface, as well as the spin-dependent transport characteristics of the CFA/MgO/CFA perpendicular magnetic tunnel junctions (p-MTJs). We find that the structure of the CFA/MgO interface with the oxygen-top FeAl termination has high thermal stability, which is protected by the thermodynamic equilibrium limit. Furthermore, this structure is found to have perpendicular magnetocrystalline anisotropy (MCA). Giant electric-field-assisted modifications of this interfacial MCA through magnetoelectric coupling are demonstrated with an MCA coefficient of up to 10−7 ergV−1 cm. In addition, our non-collinear spin transport calculations of the CFA/MgO/CFA p-MTJ predict a good magnetoresistance performance of the device.