Surface segregation was observed in Al–5 wt%Cu alloy prepared by heated mold continuous casting (HMCC). Numerical simulation software ProCAST was used to simulate the Cu distribution of HMCC Al–5 wt%Cu alloy. Formation mechanism of surface segregation in HMCC Al–5 wt%Cu alloy was discussed. The results show that a narrow gap is formed between the mold wall and the edge of solidified alloy. In the narrow gap, the liquid enriches Cu solute, which is caused by solute redistribution. Thus leads to Cu contents increasing near the mold wall. The enriched Cu solute is too late to diffuse, and will quickly flows into the narrow gap. It will be the surface layer, covering the solidified alloy, and freezes at the last stage of HMCC process, which leads to form surface segregation during the HMCC Al–5 wt%Cu alloy.