The breakdown of translational symmetry at heterointerfaces leads to the emergence of new phonon modes localized near the interface. These interface phonons play an essential role in thermal/electrical transport properties in devices especially in miniature ones wherein the interface may dominate the entire response of the device. Knowledge of phonon dispersion at interfaces is therefore highly desirable for device design and optimization. Although theoretical work has begun decades ago, experimental research is totally absent due to challenges in achieving combined spatial, momentum and spectral resolutions required to probe localized phonon modes. Here we use electron energy loss spectroscopy in an electron microscope to directly measure both the local phonon density of states and the interface phonon dispersion relation for an epitaxial cBN-diamond heterointerface. In addition to bulk phonon modes, we observe acoustic and optical phonon modes localized at the interface, and modes isolated away from the interface. These features only appear within ~ 1 nm around the interface. The experimental results can be nicely reproduced by ab initio calculations. Our findings provide insights into lattice dynamics at heterointerfaces and should be practically useful in thermal/electrical engineering.