In this article, the authors introduce a class of mixed-norm Herz spaces, Ė α, p q (R n ), which is a natural generalization of mixed Lebesgue spaces and some special cases of which naturally appear in the study of the summability of Fourier transforms on mixed-norm Lebesgue spaces. The authors also give their dual spaces and obtain the Riesz-Thorin interpolation theorem on Ė α, p q (R n ). Applying these Riesz-Thorin interpolation theorem and using some ideas from the extrapolation theorem, the authors establish both the boundedness of the Hardy-Littlewood maximal operator and the Fefferman-Stein vector-valued maximal inequality on Ė α, p q (R n ). As applications, the authors develop various real-variable theory of Hardy spaces associated with Ė α, p q (R n ) by using the existing results of Hardy spaces associated with ball quasi-Banach function spaces. These results strongly depend on the duality of Ė α, p q (R n ) and the non-trivial constructions of auxiliary functions in the Riesz-Thorin interpolation theorem.