Our understanding of supercritical fluids has seen exciting advances over the last decades, often in direct contradiction to established textbook knowledge. Rather than being structureless, we now know that distinct supercritical liquid and gaseous states can be distinguished and that a higher order phase transition - pseudo boiling - occurs between supercritical liquid and gaseous states across the Widom line. Observed droplets and sharp interfaces at supercritical pressures are interpreted as evidence of surface tension due to phase equilibria in mixtures, given the lack of a supercritical liquid-vapor phase equilibrium in pure fluids. However, here we introduce an alternative physical mechanism that unexpectedly causes a sharpening of interfacial density gradients in absence of surface tension: thermal gradient induced interfaces (TGIIF). We show from first principles and simulations that, unlike in gases or liquids, stable droplets, bubbles, and planar interfaces can exist without surface tension. These results challenge and generalize our understanding of what droplets and phase interfaces are, and uncover yet another unexpected behavior of supercritical fluids. TGIIF provide a new physical mechanism that could be used to tailor and optimize fuel injection or heat transfer processes in high-pressure power systems.