When things interlock with each other, they fit or work together. When a bicycle is properly built, all of its separate parts interlock.
The parts of a machine have to interlock for it to work well: gears must interlock with each other, for example. You can also interlock fingers with another person, holding hands so that they're laced together. This verb, dating from the 17th century, combines inter-, "between" and lock, "to close or to lock," from an Old English root.