Recent advancements in Multimodal Large Language Models (MLLMs) have achieved significant success in understanding static pre-recorded video scenarios (e.g., event-centric or narrative-driven content). However, existing MLLMs are largely trained on datasets restricted to static content due to the scarcity of high-quality interleaved data, causing them to struggle with dynamic interactions. Distinct from pre-recorded videos, live streaming is characterized by high-density, interleaved multimodal turns, where viewer comments (danmaku) are tightly coupled with real-time audio-visual evidence and evolving dialogue context. In such settings, purely textual annotations fail to capture fine-grained visual and temporal dependencies. To bridge this gap, we introduce **Live-Aid**, the first large-scale interleaved live interaction Chinese dataset with **human-annotated**, temporally aligned video responses, spanning over **1,100 hours** and 80,037 dialogue turns across 8,053 video sessions. Building on this, we leverage these high-quality annotations within a novel multi-agent pipeline to construct evaluation tasks targeting core capabilities of live interactions. Extensive evaluations of strong Video-LLMs and Omni-LLMs reveal critical limitations in interleaved multi-turn interactions requiring temporal reasoning, highlighting the value of **Live-Aid** in advancing interleaved multimodal reasoning and dynamic audio-visual dependencies.