Abstract We investigate the validity of the generalized second law (GSL) of gravitational thermodynamics on the apparent and event horizons in a non-flat Friedmann– Robertson–Walker (FRW) universe containing dark energy interacting with dark matter. We show that for the dynamical apparent horizon, the GSL is always satisfied throughout the history of the universe for any spatial curvature and it is independent of the equation of state parameter of the interacting dark energy model. On the other hand, for the cosmological event horizon, the validity of the GSL depends on the equation of state parameter of the model.