Among natural energy resources, methane clathrate has attracted tremendous attention because of its strong relevance to current energy and environment issues. Yet little is known about how the clathrate starts to nucleate and disintegrate at the molecular level, because such microscopic processes are difficult to probe experimentally. Using surface-specific sum-frequency vibrational spectroscopy, we have studied in situ the nucleation and disintegration of methane clathrate embryos at the methane-gas-water interface under high pressure and different temperatures. Before appearance of macroscopic methane clathrate, the interfacial structure undergoes 3 stages as temperature varies, namely, dissolution of methane molecules into water interface, formation of cage-like methane-water complexes, and appearance of microscopic methane clathrate, while the bulk water structure remains unchanged. We find spectral features associated with methane-water complexes emerging in the induction time. The complexes are present over a wide temperature window and act as nuclei for clathrate growth. Their existence in the melt of clathrates explains why melted clathrates can be more readily recrystallized at higher temperature, the so-called "memory effect." Our findings here on the nucleation mechanism of clathrates could provide guidance for rational control of formation and disintegration of clathrates.