In general, welding of dissimilar metals is more challenging than similar metals. This paper presents the outcomes of a detailed experimental study carried out to investigate the effect of process parameters and their interactions during dissimilar welding between AISI 304 austenitic stainless steel and AISI 4340 alloy steel and proposes an approach for multi-response optimization of process parameters. Six different process parameters and three interactions amongst them are considered during gas tungsten arc welding and the results are analyzed to devise the significance and contribution of each parameter, interaction on the welded joint pertaining to tensile strength, toughness, distortion and fusion zone microhardness variation. Detailed experimental study and analysis showed that maximum tensile strength, toughness, or minimum distortion is obtained at different parametric combinations. Thus, in order to search a best process combination that optimizes multiple responses, analytic hierarchy process is applied with a modified approach to assign the relative importance of each alternative. The steps involved in the approach are also discussed and the optimum parametric combination is selected that maximizes the joint mechanical strength. Results show that maximum joint strength is achieved when ER 308 filler material, Ar þ H 2 shielding gas with moderate flow rate and suitable pre-heating as well as post-heating are used.