Inspired by this YouTube video (spoiler!) I made a 3D printed version.

Let the pieces waltz into the box!

I made a lot of testing with the size, wall thickness, tolerance and support. It turned out that the best solution for the box is to print it as one part with support. I recommend normal support and a brim for the box, see included 3mf file. The walls of the box have to be that thick because otherwise you could cheat.

Both puzzle pieces consist of two parts which have to be glued together.