By ameliorating the contact heat transfer measurement device and simulating the transient heat exchange characteristics of roll gap by finite element model, the coupling influence of temperature, pressure, and roughness on the contact heat transfer coefficient was analyzed. Results show that there are two obvious critical thresholds for the contact heat transfer. When the interface pressure is less than 22.1 MPa at temperature<150 °C, there is a good linear relationship. When the interface pressure exceeds the first threshold, the contact heat transfer is significantly enhanced, presenting the obvious nonlinear characteristic. In addition, once the interface pressure exceeds 50 MPa and the temperature is higher than 300 °C, the contact heat transfer quickly tends to be stable. Obviously, the second threshold is directly related to the elastic-plastic deformation of friction peaks on the surface of magnesium alloy strip. The contact heat transfer at high pressure is caused by the increased micro-contact area and the interactive diffusion of friction peak. Based on these characteristics of the phenomena, it is beneficial to accurately control the contact temperature of roll gap, and therefore to design suitable rolling parameters and optimize the rolling technique.