Silica or calcium fluoride (CaF2) substrate-supported poly(methyl methacrylate) (PMMA) thin films as insulating layers are commonly used in photoelectric/photovoltaic devices to improve the efficiency or stability of these devices. However, a comparative investigation of molecular structures at buried PMMA/silica and PMMA/CaF2 interfaces under thermal stimuli remains unexplored. In this study, we qualitatively and quantitatively revealed different molecular orderings and orientations of PMMA at two interfaces before and after annealing using sum frequency generation (SFG) vibrational spectroscopy. SFG vibrations were carefully assigned by using various deuterated PMMAs. SFG results indicated that, at the buried PMMA/silica interface, the side OCH3 groups were prone to lie down before annealing and tended to stand up after annealing. In contrast, the case was the opposite at the buried PMMA/CaF2 interface. The relative hydrophobicity/hydrophilicity of the two substrates and the developed hydrogen bonds upon annealing at the buried PMMA/silica interface, which is absent at the CaF2 surface, are believed to be the driving forces for different interfacial molecular structures. This study benefits the molecular-level understanding of the interfacial local structural relaxation of polymers at buried interfaces and the rational design of photoelectric/photovoltaic devices from the molecular level.