Conductive hydrogels are widely used in sports monitoring, healthcare, energy storage, and other fields, due to their excellent physical and chemical properties. However, synthesizing a hydrogel with synergistically good mechanical and electrical properties is still challenging. Current fabrication strategies are mainly focused on the polymerization of hydrogels with a single component, with less emphasis on combining and matching different conductive hydrogels. Inspired by the gradient modulus structures of the human skin, we propose a bilayer structure of conductive hydrogels, composed of a spray-coated poly(3,4-dihydrothieno-1,4-dioxin): poly(styrene sulfonate) (PEDOT:PSS) as the bonding interface, a relatively low modulus hydrogel on the top, and a relatively high modulus hydrogel on the bottom. The spray-coated PEDOT:PSS constructs an interlocking interface between the top and bottom hydrogels. Compared to the single layer counterparts, both the mechanical and electrical properties were significantly improved. The as-prepared hydrogel showed outstanding stretchability (1763.85 ± 161.66%), quite high toughness (9.27 ± 0.49 MJ/m3), good tensile strength (0.92 ± 0.08 MPa), and decent elastic modulus (69.16 ± 8.02 kPa). A stretchable strain sensor based on the proposed hydrogel shows good conductivity (1.76 S/m), high sensitivity (a maximum gauge factor of 18.14), and a wide response range (0–1869%). Benefitting from the modulus matching between the two layers of the hydrogels, the interfacial interlocking network, and the patch effect of the PEDOT:PSS, the strain sensor exhibits excellent interface robustness with stable performance (>12,500 cycles). These results indicate that the proposed bilayer conductive hydrogel is a promising material for stretchable electronics, soft robots, and next-generation wearables.