Recently, poly(vinylidene fluoride) (PVDF)-based multilayer films have demonstrated enhanced dielectric properties, combining high energy density and high dielectric breakdown strength from the component polymers. In this work, further enhanced dielectric properties were achieved through interface/interphase modulation and biaxial orientation for the poly(ethylene terephthalate)/poly(methyl methacrylate)/poly(vinylidene fluoride-co-hexafluoropropylene) [PET/PMMA/P(VDF-HFP)] three-component multilayer films. Because PMMA is miscible with P(VDF-HFP) and compatible with PET, the interfacial adhesion between PET and P(VDF-HFP) layers should be improved. Biaxial stretching of the as-extruded multilayer films induced formation of highly oriented fibrillar crystals in both P(VDF-HFP) and PET, resulting in improved dielectric properties with respect to the unstretched films. First, the parallel orientation of PVDF crystals reduced the dielectric loss from the αc relaxation in α crystals. Second, biaxial stretching constrained the amorphous phase in P(VDF-HFP) and thus the migrational loss from impurity ions was reduced. Third, biaxial stretching induced a significant amount of rigid amorphous phase in PET, further enhancing the breakdown strength of multilayer films. Due to the synergistic effects of improved interfacial adhesion and biaxial orientation, the PET/PMMA/P(VDF-HFP) 65-layer films with 8 vol.% PMMA exhibited optimal dielectric properties with an energy density of 17.4 J/cm3 at breakdown and the lowest dielectric loss. These three-component multilayer films are promising for future high energy density film capacitor applications.