Heterostructures constructed from graphene and transition metal dichalcogenides (TMDs) have established a new platform for optoelectronic applications. After a large number of studies, one intriguing debate is the existence of the interfacial exciton in graphene/TMDs. Hereby, by combined optical pump-terahertz probe spectroscopy and transient absorption spectroscopy, we report the observation of the interfacial exciton in graphene/MoS2 heterostructure. With the photon energy well below the band gap of monolayer MoS2, the hot electrons of graphene are transferred to MoS2 within 0.5 ps; subsequently, the relaxation of the holes in graphene and electrons in MoS2 shows an identical time scale of 15-18 ps, which manifests the formation and relaxation of the interfacial exciton in the heterostructure following photoexcitation. Moreover, a model of the carrier heating and photogating effect in graphene is proposed to estimate the amount of transferred charge, which agrees well with the experimental results. Our study provides insights into the dynamics of graphene-based heterostructure interfacial non-equilibrium carriers.