Hybrid structures built using Mg/steel are expected to have an increasing impact on the future developments of the manufacturing sector, especially where lightweight structures are required in order to reduce fuel consumption, greenhouse gases and improve efficiency of energy-converting systems. To this end, there is a pressing need for a joining technology to produce effective and low-cost dissimilar Mg/steel joints. Joining of these materials has always been a challenging task for researchers, due to the wide discrepancies in physical properties and lack of metallurgical compatibilities that make the welding process difficult. Based on the existing literature, a successful joint between magnesium alloys and steel can be achieved by inserting an interlayer at the interface or mutual diffusion of alloying elements from the base metal (BM). Thus, intermetallic phases (IMCs) or solid solutions between Mg and the interlayer and also the interlayer and Fe formed at the interface. However, the interfacial bonding achieved and the joints performance depend significantly on the intermediate phase. This paper reviewed the research and progress in the area of joining of Mg alloys to various grades of steel by variety of welding processes, with focus on the techniques used to control the morphology and existence state of intermediate phase and improving the mechanical properties.