A polyethylene pipe reinforced by winding steel wires (PSP) has been widely used in the petroleum, chemical, and water supply industries. The PSP has outstanding mechanical properties due to its unique composite structure. However, interfacial debonding between steel wire and adhesive sometimes occurs when the temperature and inner pressure increases to some extent in the application. In this study, the interfacial behavior between steel wire and adhesive was investigated and the interfacial failure process was analyzed. First, to acquire test data of interfacial failure, pull-out tests were conducted using specimens consisted of steel wire and adhesive. Specimens were prepared per the PSP manufacturing process, and a temperature change occurred in the specimens' preparation. Second, as the details of failure process could not be observed directly, finite element models were established to represent the mechanical behavior of the steel-polymer interface in-order to reproduce the debonding failure process. The thermal preload was taken into account in the model, and its influence on interfacial behavior was discussed. Contact surface with cohesive behavior was utilized to characterize the interfacial property. Finally, the interfacial failure process including stick–slip interaction and frictional sliding interaction was modeled in the simulation. The simulation result agreed well with the experimental data. Based on the finite element model, the cause and the distribution of thermal residual stress in pull-out specimen were illuminated. Further, it is discussed that how the stress distribution changes along the adhesive interface.