Multilayer films of semifluorinated alkanes (SFAs) at the air/water interface were studied in situ by grazing incidence small-angle X-ray scattering (GISAXS). The results provide evidence that the first layer in contact with the water subphase, buried below the overlayers, exhibits the same supramolecular hexagonal structure that is observed in the monolayer before the collapse, at non-zero surface pressure. We believe this result clearly demonstrates the major role of the interactions between the first layer of SFAs and the water subphase to the formation of the structure.