Magnetocrystalline anisotropy at Heusler alloy|MgO interfaces has been studied using first-principles calculations. It has been found that Co-terminated Co2FeAl|MgO interfaces show perpendicular magnetic anisotropy up to 1.31 mJ/m2, while those with FeAl termination exhibit in-plane magnetic anisotropy. Atomic layer-resolved analysis indicates that the origin of perpendicular magnetic anisotropy in Co2FeAl|MgO interfaces can be attributed to the out-of-plane orbital contributions of interfacial Co atoms. At the same time, Co2MnGe and Co2MnSi interfaced with MgO tend to favor in-plane magnetic anisotropy for all terminations.