Vaporizing foil actuator spot welding method is used in this paper to join magnesium alloy AZ31 and uncoated high-strength steel DP590, which are typically considered as un-weldable due to their high physical property disparities, low mutual solubility, and the lack of any intermetallic phases. Characterization results from scanning electron microscopy (SEM) and high-resolution transmission electron microscopy (HRTEM) of the weld interface indicate that the impact creates an Mg nanocrystalline interlayer with abundant Fe particles. The interlayer exhibits intact bonding with both DP590 and AZ31 substrates. To investigate the fundamental bond formation mechanisms at the interface, a finite element (FE)-based process simulation is first performed to calculate the local temperature and deformation at the interface under the given macroscopic experimental condition. Taking the FE results at the interface as inputs, molecular dynamics (MD) simulations are conducted to study the interlayer formation at the Mg/Fe interface during the impact and cooling. The results found a high velocity shearing-induced mechanical mixing mechanism that mixes Mg/Fe atoms at the interface and creates the interlayer, leading to the metallurgical bond between Mg/steel alloys.