A series of CoFe/Pd bilayer thin films is fabricated by introducing a native oxide layer to the interface or to the inside of CoFe layer in this paper. The results indicate that the magnetic anisotropy of the film is transformed from in-plane to out-of-plane after annealing by introducing the native oxide layer. For the samples with the introduction of native oxide layer into CoFe layer, the strong perpendicular magnetic anisotropy is maintained in a wide range of the effective thickness (1.22 nm) of magnetic layer. For the perpendicular magnetic films, the thickness of CoFe layer in this special bilayer structure is at least 1.4 nm, thicker than in common CoFe/Pd multilayer structure. The results in this paper are beneficial for the fabrication of the electrodes in perpendicular magnetic devices with high thermal stability.