For atomically thin two-dimensional materials, interfacial effects may dominate the entire response of devices, because most of the atoms are in the interface/surface. Graphene/sapphire has great application in electronic devices and semiconductor thin-film growth, but the nature of this interface is largely unknown. Here we find that the sapphire surface has a strong interaction with some of the carbon atoms in graphene to form a C-O-Al configuration, indicating that the interface interaction is no longer a simple van der Waals interaction. In addition, the structural relaxation of sapphire near the interface is significantly suppressed and very different from that of a bare sapphire surface. Such an interfacial C-O-Al bond is formed during graphene growth at high temperature. Our study provides valuable insights into understanding the electronic structures of graphene on sapphire and remote control of epitaxy growth of thin films by using a graphene-sapphire substrate.