The influence of the nonlinear response of the interface on the localized state formation near at the boundary between medium with Kerr nonlinearity an exponential graded-index medium is analyzed. The linear and nonlinear responses of the interface are taken into account. The cases of self-focusing and defocusing nonlinearities of the Kerr medium are considered. Exact analytical solutions describing the asymmetrical spatial profiles of localized states and analytical solutions to dispersion equation in different cases are found. The intensity at the interface reduces in the case a defocusing nonlinear response of the interface and it enlarges in the case a self-focusing nonlinear response of the interface with an increase in the localization energy. The spatial distribution of localized states with two asymmetrical maxima can arise with a relatively small value of the characteristic width of an exponential graded-index medium corresponding to the ground state characterized by no more than one maximum in the graded-index medium. The appearance of the second maximum is possible in the case of contact only between a self-focusing medium and the graded-index medium and is due solely to the presence of a nonlinear response of the interface. The localized states with the spatial profiles attenuating with oscillations in the graded-index medium are found with a significant increase in the characteristic width of a graded-index medium.