Magnesium alloy and aluminum alloy (Mg alloy and Al alloy) have excellent properties and play an increasingly important role in modern industry. It is of great significance to realize the reliable welding of Mg/Al dissimilar metals for the development of lightweight. However, there are some urgent problems to be solved in the welding of Mg/Al dissimilar metals, such as the easy oxidation of Mg alloy and Al alloy, the formation of pores and the continuous distribution of intermetallic compounds (IMCs), which significantly affect the joint performance. This paper analyzed the weldability of Mg/Al dissimilar metals, reviewed the research progress of Mg/Al dissimilar metal welding, expounded the improvement and elimination of Mg-Al IMCs, and put forward the prospect of Mg/Al dissimilar metal welding.