In this study, a penetration-controlled friction stir welding (FSW) technique was employed to lap weld dissimilar Al/Mg alloys, incorporating a Zn interlayer. The joint’s microstructure, interfacial reaction, and phase composition were analyzed through optical microscopy, scanning electron microscopy, and X-ray diffraction. The findings demonstrate the formation of a hybrid joint comprising a FSWed region and a diffusion bonding region achieved by introducing a pure Zn interlayer at the Al/Mg interface. Within the FSWed region, the zinc was fully extruded, leading to favorable interface bonding. In contrast, the diffusion bonding region exhibited an aluminum–zinc diffusion reaction layer, an incompletely reacted zinc layer, and a zinc–magnesium diffusion reaction layer. Notably, no Al-Mg intermetallic compounds (IMCs) were observed in either the FSWed or diffusion bonding regions of the hybrid joint. This study further explored the underlying mechanism behind the joint’s formation.