Magnetic pulse welding between 1060 aluminum alloy and AZ31 magnesium alloy was conducted with different welding process parameters. Compared with the interface morphology of aluminum-aluminum joint, the characteristics of interface waves in Al-Mg dissimilar metal welding joint were discussed. With the help of SEM/EDS and the NANO INDENTER test analysis, the formation mechanism and the distribution of “melt zone”, and the change of hardness in this zone were investigated. The results show that the interface is of irregular wavy binding mode, and the interface wave embedded in the magnesium layer is much larger than that embedded in the aluminum wave; the “melt zone” will generate a rigid second phase, which is distributed in the Al-based side. Trough adjusting the appropriate welding parameters, it is obviously useful to avoid the formation of “melt zone”.