Supercontinuum (SC) generation is a typical nonlinear phenomenon that occurs during femtosecond filamentation in transparent media. The interference of the SC induced by femtosecond filament in water is explored by using interferometry with the aid of a Mach–Zehnder interferometer (MZI). In the low pulse energy case (single filament is formed), the MZI is used to precisely determine the actual value of filamentation threshold P th. It is found that the value of P th is much higher than that of the critical power for self-focusing P cr. In the higher pulse energy case, by blocking one arm of the MZI, self-interference resulted from SC emitted by femtosecond filaments is studied. By analyzing the interference patterns, we can acquire information on femtosecond filament, such as filament number and filament spacing. The energy range for the generation of single, double and triple filaments in water is also determined. Diffraction effect will distort and even mask the interference patterns, and to eliminate its influence on the results, the spectral signals at shorter wavelength are selected. This work provides an effective approach to study the complex femtosecond filamentation process intuitively and conveniently.