A puzzle book having a front cover, a back cover, a plurality of pages disposed between the front and back covers, and a puzzle disposed on the exterior side of the front cover. The puzzle is composed of a plurality of interlocking puzzle pieces which are disposed in a cavity formed in the exterior side of the front cover. Each of the puzzle pieces has a portion of a printed image formed thereon and a plurality of interlocking portions. The cavity in which the puzzle pieces are disposed may have a shape defined by an internal perimeter of a border area, and the border area may have a plurality of interlocking portions which mate with the interlocking portions of the puzzle pieces to help hold the puzzle pieces within the cavity when the front cover of the puzzle book is opened. The puzzle book may also be provided with a single sheet of transparent material which covers at least a portion of the puzzle and which is removable from the front cover. The transparent material may be a sleeve or band shrink-wrapped around the front cover or a rectangular sheet adhered to the front cover.