This paper presents a highly efficient moving least squares finite difference method (MLS FDM) for a heat transfer problem of bi-material with interfacial boundary. The MLS FDM directly discretizes governing differential equations based on a node set without a grid structure. In the method, difference equations are constructed by the Taylor polynomial expanded by moving least squares method. The wedge function is designed on the concept of hyperplane function and is embedded in the derivative approximation formula on the moving least squares sense. Thus interfacial singular behavior like normal derivative jump is naturally modeled and the merit of MLS FDM in fast derivative computation is assured. Numerical experiments for heat transfer problem of bi-material with different heat conductivities show that the developed method achieves high efficiency as well as good accuracy in interface problems.