here’s the sources from Halacha For Today:
According to Kabballah (Zohar Parshas Vayikra 24), it is never good to interlace the fingers into each other as doing so can bring bad Mazel as well as harsh heavenly judgement. (See Piskei Teshuvos Siman 95:5 for more details) Halachically, in times of peace and calm it should not be done, but in difficult times (I am not sure exactly how to determine what is considered difficult times) it is an acceptable, and perhaps even an adviseable, way to hold the hands during Tefilah. (See Aruch HaShulchan Siman 91:7 and Be’er Heitev Siman 95:3)