A tri-metal titanium/aluminum/magnesium (Ti/Al/Mg) cladding plate, with an aluminum alloy interlayer plate, was fabricated for the first time by explosive welding. Nanoindentation tests and associated microstructure analysis were conducted to investigate the interface bonding mechanisms of the Ti/Al/Mg cladding plate. A periodic wavy bonding interface (with an amplitude of approximately 30 μm and a wavelength of approximately 160 μm) without a molten zone was formed between the Ti and Al plates. The bonding interface between the Al and the Mg demonstrated a similar wavy shape, but the wave at this location was much larger with an amplitude of approximately 390 μm and a wavelength of approximately 1580 μm, and some localized melted zones also existed at this location. The formation of the wavy interface was found to result from a severe deformation at the interface, which was caused by the strong impact or collision. The nanoindentation tests showed that the material hardness decreased with increasing distance from the bonding interface. Material hardness at a location was found to be correlated with the degree of plastic deformation at that site. A larger plastic deformation was correlated with an increase in hardness.