Controlling electronic properties via band structure engineering is at the heart of modern semiconductor devices. Here, we extend this concept to semimetals where, using LuSb as a model system, we show that quantum confinement lifts carrier compensation and differentially affects the mobility of the electron and hole-like carriers resulting in a strong modification in its large, nonsaturating magnetoresistance behavior. Bonding mismatch at the heteroepitaxial interface of a semimetal (LuSb) and a semiconductor (GaSb) leads to the emergence of a two-dimensional, interfacial hole gas. This is accompanied by a charge transfer across the interface that provides another avenue to modify the electronic structure and magnetotransport properties in the ultrathin limit. Our work lays out a general strategy of using confined thin-film geometries and heteroepitaxial interfaces to engineer electronic structure in semimetallic systems, which allows control over their magnetoresistance behavior and simultaneously provides insights into its origin.