Oxides are prone to occur in welded joints by using of conventional welding methods due to high specific oxidation activity of magnesium and aluminum alloys, which leads to a decrease in the bonding performance of the composite plates. In order to improve the bonding strength of Mg-Al composite plates, Mg-AZ31B/Al-6061 composite plates were manufactured by vacuum explosive welding method, and compared with fabricating the same composite plates in air environment. The microstructure, elements distribution and mechanical properties of the interface were analyzed by optical microscope, scanning electron microscope, energy spectrometer and universal testing machine. The results show that the interfacial morphology of composites welded in vacuum environment is largely different from that in air environment due to the difference of gas shock pressure. The vacuum environment effectively inhibited the oxidation of magnesium and aluminum, and no metal oxides were detected in the melting zone. In addition, it was observed that the shear strength and tensile strength of the samples increased significantly under vacuum explosive welding. Therefore, vacuum explosive welding plays an important role in improving the performance of Mg/Al composite plates, and can be used as an high-performance metal welding method.