Conventional mechanical joining methods, such as riveting, threaded connection and stamping connection, have obvious shortcomings in heterogeneous sheets joining. A new method of embedded cold joining was put forward, which can easily realize the connection between heterogeneous sheets. The method is suitable for connection of heterogeneous sheets with multi-layers and different thicknesses. This method can also decrease the cost greatly at the same time. Numerical simulation and experimental results indicate that a round hole sample has the maximum embedded depth and flash volume. Meanwhile, the elongation of aluminum sheet in hexagonal hole sample is the smallest. The joint strength of round hole sample increases with increment of the load pressure. Under the same load conditions, the joint strength of hexagonal hole sample is significantly higher than that of round hole and square hole sample. Additionally, the thickness decreased at different points on joint region because of the load pressure increasing. This paper shows an effective way how to realize the heterogeneous sheets connections.