Steel-concrete composite structures have been widely used in the on-site constructions due to the benefit of composite actions provided by the steel and concrete. However, prefabricated steel–concrete composite constructions for building structures are not very popular in practice due to insufficient research studies and the lack of information on the connection systems, especially for the connection of prefabricated composite slabs. Prefabricated slabs are usually designed and constructed as simply supported and discontinuous elements. However, on-site composite slabs are continuous and connected to steel beams using shear connectors. Hence, the capacity of the composite slab constructed on-site is higher than that of conventional prefabricated slabs. Therefore, there is a significant need to develop a prefabricated continuous composite slab system to utilise the full benefit of the composite action. This study proposes interlocking connection systems for prefabricated steel–concrete composite slabs. The proposed prefabricated composite slabs with an interlocking system are analysed using finite element (FE) modelling and compared the results with the conventional slabs such as simply supported non-composite slabs, non-composite continuous slab and composite continuous slab. The ultimate load capacity of the proposed prefabricated composite slabs with the interlocking connection system has been found to be 40% higher than that of simply supported non-composite slabs and 10% lower than that of the continuous composite slab.