Securing the physical components of a city's interdependent critical infrastructure (ICI) such as power, natural gas, and water systems is a challenging task due to their interdependence and a large number of involved sensors. In this paper, using a novel integrated state-space model that captures the interdependence, a two-stage cyber attack on an ICI is studied in which the attacker first compromises the ICI's sensors by decoding their messages, and, subsequently, it alters the compromised sensors' data to cause state estimation errors. To thwart such attacks, the administrator of each critical infrastructure (CI) must assign protection levels to the sensors based on their importance in the state estimation process. To capture the interdependence between the attacker and the ICI administrator's actions and analyze their interactions, a Colonel Blotto game framework is proposed. The mixed-strategy Nash equilibrium of this game is derived analytically. At this equilibrium, it is shown that the administrator can strategically randomize between the protection levels of the sensors to deceive the attacker. Simulation results coupled with theoretical analysis show that, using the proposed game, the administrator can reduce the state estimation error by at least $ 50\% $ compared to a non-strategic approach that assigns protection levels proportional to sensor values.