Although a Möbius strip does only have one side, I'm not sure this 3D shape where the inside becomes the outside becomes the inside is really a Möbius knot, which I thought was a piece of string (or whatever) without ends (e.g. a circle/band) that is knotted trough its own loop...?
To me this looks kinda like a variation on a Klein bottle, which itself is made from Möbius strips again, though! ;o)
Or maybe it's a combination of the two?
So yeah, even just talking about it is mind-boggling! ;o)
Download + build your own 3D papercraft Möbius/Klein knot (+lots more, by Kamibox):
PS: Luckily, making a papercraft Möbius strip and having fun with them is much easier: