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Eleven-layered AZ31/AA1050 composite plates were fabricated using a single-shot explosive welding process. The microstructural evolution of the interfacial layers were thoroughly investigated using scanning and transmission electron microscopy. The microstructural observations were correlated with microhardness measurements and bending tests to evaluate the mechanical properties of the clads. Under the applied detonation velocities, only the first interface was wavy, whereas the others were flat. Near all the interfaces, local melting and rapid solidification led to the formation of reaction regions composed of different phases with various chemical compositions and structures. In addition to the two equilibrium phases of γ-Mg17Al12 and β-Mg2Al3 identified in the reaction regions, a significant portion of the solidified melt was composed of non-equilibrium phases exhibiting an amorphous or ultra-fine-grained structure. During subsequent annealing, the high-hardness γ-Mg17Al12 and β-Mg2Al3 phases grew rapidly near all interfaces, whereas inside pre-existing reaction regions, the areas with various chemical compositions systematically transformed into the β-Mg2Al3 phase. It was found that the application of a pressure of 3 MPa plays an important role in avoiding clad delamination during heating; however, it does not prevent the formation of linear cracks in the β-Mg2Al3 phase, which significantly decreases the formability of the composite.