The investigations into the interfaces in iron selenide (FeSe) thin films on various substrates have manifested the great potential of showing high-temperature-superconductivity in this unique system. In present work, we obtain FeSe thin films with a series of thicknesses on calcium fluoride (CaF2) (100) substrates and glean the detailed information from the FeSe/CaF2 interface by using scanning transmission electron microscopy (STEM). Intriguingly, we have found the universal existence of a calcium selenide (CaSe) interlayer with a thickness of approximate 3 nm between FeSe and CaF2 in all the samples, which is irrelevant to the thickness of FeSe layers. A slight Se deficiency occurs in the FeSe layer due to the formation of CaSe interlayer. This Se deficiency is generally negligible except for the case of the ultrathin FeSe film (8 nm in thickness), in which the stoichiometric deviation from FeSe is big enough to suppress the superconductivity. Meanwhile, in the overly thick FeSe layer (160 nm in thickness), vast precipitates are found and recognized as Fe-rich phases, which brings about degradation in superconductivity. Consequently, the thickness dependence of superconducting transition temperature (Tc) of FeSe thin films is investigated and one of our atmosphere-stable FeSe thin film (127 nm) possesses the highest Tconset/Tczero as 15.1 K/13.4 K on record to date in the class of FeSe thin film with practical thickness. Our results provide a new perspective for exploring the mechanism of superconductivity in FeSe thin film via high-resolution STEM. Moreover, approaches that might improve the quality of FeSe/CaF2 interfaces are also proposed for further enhancing the superconducting performance in this system.