A fully coupled thermo-mechanical numerical model is developed for the butt friction stir welding (FSW) of 5A06 aluminum alloy and AZ31B magnesium alloy based on the coupled Eulerian-Lagrangian (CEL) method, and the temperature field and material mixing flow characteristics during FSW process are studied by numerical simulation and experimental tests. The temperature cycle curves, the weld surface morphology and the mixed distribution of dissimilar materials on the cross section obtained by numerical simulation are in good agreement with the experimental results. On this basis, the particle tracking method is used to analyze the mixing flow behavior of dissimilar materials. The results show that the high temperature zone is located in the region below the tool shoulder, and the temperature on the retreating side (Mg side) is lower and its gradient is larger. The fusion line of dissimilar materials on the top surface is inclined to the advancing side (Al side). The material near the pin flows significantly and most of the materials deposit evenly on the advancing and retreating sides behind the pin. The mixing flow of the materials on the advancing and retreating sides in the horizontal and vertical directions finally forms the zig-zag interface characteristics of the two materials.