When thin Al alloy sheets are clad on to twin-roll-cast Mg alloy melt, inherent drawbacks of Mg alloys such as poor formability, corrosion resistance, and surface quality can be effectively complemented. In this study, three-ply Al/Mg/Al clad sheets were fabricated by twin-roll casting and post-treatments. Brittle interfacial layers composed of γ (Mg17Al12) and β (Mg2Al3) phases were inevitably formed, but their proper thickening during the post-treatments led to improvement of interfacial bonding and resultant tensile properties. In particular, warm rolling was an effective way to modify interfacial microstructures and tensile properties by minimizing deformation inhomogeneity and stress concentration.