In this work, an Al foil wrapped AZ31 plate was fabricated by direct hot pressing with a thickness reduction of 50% at 300 °C. Effective metallurgical bonding was produced at the Mg/Al interface and no obvious defects were found. Annealing treatment at 400 °C can generate two continuous intermetallic compound layers (Al3Mg2 on the Al side and Mg17Al12 on the Mg side) at the bonding interface. As annealing time increases, the intermetallic compound layers thicken, accompanied by the thinning and disappearance of the pure Al layer. After annealing for 8 h, a thick coating with the Al3Mg2 and Mg17Al12 mixture is formed on the surface of Mg plate. The micro-hardness of the intermetallic compound layers is much higher than that of the AZ31-substract and pure aluminum layer. Thus, the prolonged annealing (>4 h) can greatly increase the surface hardness. Compared with the as-received AZ31 sample, the corrosion resistance of the Al foil wrapped AZ31 plate can also be greatly improved. As annealing time increased from 0.5 to 8 h, the corrosion resistance showed a slightly decrease. In the present work, the sample annealed for 4 h gave the best consideration to surface hardness and corrosion resistance.