There is an ever increasing demand for advanced electrode materials with well-defined micro-nanostructures for supercapacitors. Both polypyrrole (PPy) and molybdenum oxide (MoO_x) are promising candidates for capacitive applications, yet each has limitations. Here, a facile electrochemical method capable of assembling strongly coupled layer-by-layer (LbL) PPy/MoO_x hybrid films on a 3D exfoliated graphite current collector is demonstrated. The strong interlayer interaction between PPy and MoO_x was studied. The spectroscopy results indicate that the protonation level of PPy is enhanced and the valence state of Mo in MoO_x is reduced, which synergistically improve the charge transfer kinetics of the composites. LbL-PPy/MoO_x achieves a high specific capacitance of 398 F g⁻¹ and good cycling stability. The quantitative calculation suggests that the strong coupling effect contributes more than 50% of the total capacitance at a fast discharge rate (e.g., 20 A g⁻¹). A 2.2 V asymmetric capacitor using LbL-PPy/MoO_x as the anode can deliver a high energy density of 72.7 W h kg⁻¹ at a power density of 343 W kg⁻¹. Our findings disclose the interfacial interaction between PPy and MoO_x in the composite materials and could open up new opportunities for the fabrication of other composite materials with enhanced interactions, leading to great development in a plethora of applications.