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The hydrodynamic interactions (HIs) in colloidal monolayers are strongly influenced by the boundary conditions and can be directly described in terms of the cross-correlated diffusion of the colloid particles. In this work, we experimentally measured the cross-correlated diffusion in colloidal monolayers near a water–oil interface. The characteristic lengths of the system were obtained by introducing an effective Saffman length. The characteristic lengths of a particle monolayer near a water–oil interface were found to be anisotropic in the longitudinal and transverse directions. From these characteristic lengths, the master curves of cross-correlated diffusion are obtained, which universally describe the HIs near a liquid–liquid interface.