Here is analyzed the observational data of 70 magnetic cloud boundary layers (BLs) from the Three-Dimensional (3-D) Plasma and Energetic Particle (3DP) and 50 BLs from the Solar Wind Experiment (SWE) instruments on Wind spacecraft from February 1995 to June 2003. From this analysis, we discover that the boundary layer of a magnetic cloud is a new non-pressure-balanced structure different from the jump layer (i.e., shocked front) of an interplanetary shock wave. The main results are that (1) the BL is often a non-pressure-balanced structure with the magnetic pressure decrease associated with the abrupt variation of field direction angle ($theta$, $phi$) for about 90% and more than 85% of the BLs investigated from 3DP and SWE data, respectively; (2) the events of heated and accelerated plasma in the BLs are about 90%, 85% and 85%, 82% of the BLs investigated, respectively, from 3DP and SWE data; (3) the reversal flows are observed and their occurrence ratio is as high as 80% and 90% of the BLs investigated from 3DP and SWE data, respectively; and (4) the plasma and field characteristics for the BLs are also obviously different from those in the jump layers (JLs) of shock waves. These results show that there exist important dynamic interactions inside the BLs. As a preliminary interpretation, this could be associated with the magnetic reconnection process possibly occurring inside the BLs. Thus the study of the BLs, as a new non-pressure-balanced structure in interplanetary space, could open a "new window" for revealing some important physical processes in interplanetary space.