We attempted to add perpendicular magnetic anisotropy (PMA) to half-metallic full-Heusler Co_2FeSi (CFS) alloy thin films with potential application in magnetic tunnel junction (MTJ). CFS/MgO stacked structure showed PMA by setting the thickness of CFS below 0.7 nm. It was confirmed PMA is originated from CFS/MgO interfaces. Furthermore, we found that more stable PMA was obtained by introducing oxygen exposure process after the deposition of CFS layer before the preparation of MgO layer. This process is very useful as a method to modify the structure and chemical state at the interface and effective to form ferromagnetic CFS layers with both half-metallic ferromagnetism and PMA.