In this study, CuCrZr-Hastelloy X bimetallic structure featuring an ultra-fine grain zone (UFGZ) near the interface were fabricated by laser-directed energy deposition (L-DED). Samples with UFGZ were obtained with 300 °C preheating, whereas samples without preheating did not contain UFGZ. The microstructures and mechanical properties of samples with and without UFGZ were compared. The formation of UFGZ was attributed to the presence of a spherical phase near the interface, which was identified as Ni (Fe, Cr, Mo). Due to the higher melting point of Hastelloy X compared to CuCrZr, Ni elements mixed into CuCrZr with the flow of the molten pool, solidified first, and served as substrates for the heterogeneous nucleation, ultimately promoting the formation of UFGZ. With 300 °C preheating, the hardness of CuCrZr near the interface increased from 115.07 HV to 148.51 HV due to the presence of UFGZ. And the hardness gap near the interface decreased from 172.58 HV to 147.19 HV, which improved the uniformity of mechanical properties. Moreover, the nanoindentation tests results that UFGZ increased the hardness of the zone near the interface from 1.42 GPa to 1.72 GPa. Tensile test results indicated that the UFGZ altered the fracture mode from brittle to ductile. Samples with UFGZ exhibited ductile fracture, while those without UFGZ exhibited brittle fracture. At room temperature, the tensile strength of samples with UFGZ increased from 298.44 MPa to 347.05 MPa. For tests conducted at 400 °C, the tensile strength increased from 165.12 MPa to 229.53 MPa. This enhancement indicated that UFGZ could improve the strength and toughness of the interface, thereby enhancing the interfacial bonding strength. This study is of great significance for improving the interfacial bonding strength of CuCrZr-Hastelloy X bimetallic structures.