The interface changes of multi-layer HgCdTe P-on-N epitaxial materials grown by molecular beam epitaxy (MBE) before and after high temperature thermal annealing were studied. It is found that high temperature thermal annealing causes the change of the interface layer of HgCdTe P-on-N structure and destroys the original designed structure. This change can be controlled to some extent by thermal annealing conditions. At the same time, the structural changes of P-on-N before and after thermal annealing are simulated numerically, and the effects of different changes on the energy band and light current are studied.