With the help of the two-dimensional electron gas (2DEG) at the LaAlO3-SrTiO3 interface, spin and charge currents can be interconverted. However, the conversion efficiency has been strongly depressed by LaAlO3, which blocks spin transmission. It is therefore highly desired to explore 2DEGs sandwiched between ferromagnetic insulators that are transparent for magnons. By constructing epitaxial heterostructure with ferromagnetic EuO, which is conducting for spin current but insulating for electric current, and KTaO3, we successfully obtained the 2DEGs, which can receive thermally injected spin current directly from EuO and convert the spin current to charge current via inverse Edelstein effect of the interface. Strong dependence of the spin Seebeck coefficient on the layer thickness of EuO is further observed and the propagation length for non-equilibrium magnons in EuO has been determined. The present work demonstrates the great potential of the 2DEGs formed by ferromagnetic oxides for spin caloritronics.