Core–shell composites with strong weather resistance, mechanical strength and creep resistance can be prepared using co-extrusion technology. Considering the weak bonding strength between core–shell interfaces, this study started from the concept of a mortise and tenon combination; three types of conical, rectangular and trapezoidal mortise and tenon joints were prepared, and their bending properties, long-term creep properties, interfacial bonding properties, and dimensional stability properties were tested. Results showed that the mortise and tenon structure could form a mechanical interlock between the outer-shell-layer polyvinyl chloride (PVC) wood–plastic composite (WPVC) and the inner-core-layer laminated veneer lumber (LVL), which could effectively improve the interface bonding property between the two layers. Among them, the trapezoidal mortise and tenon structure had the largest interface bonding force compared with the tapered and rectangular mortise and tenon structure, where the interface bonding strength reached 1.01 MPa. Excellent interface bonding can effectively transfer and disperse stress, so the trapezoidal mortise and tenon structure had the best bending properties and creep resistance, with a bending strength of 59.54 MPa and a bending modulus of 5.56 GPa. In the long-term creep test, the deformation was also the smallest at about 0.2%, and its bending properties, creep resistance and interface bonding performance were also the best. The bending strength was 59.54 MPa and the bending modulus was 5.56 GPa; in the long-term creep test, the strain curve was the lowest, about 0.2%. In addition, the mortise and tenon structure could disperse the stress of the inner shell LVL after water absorption and expansion, thus significantly improving the dimensional stability of the co-extruded composite after water absorption.